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Contrarian Investment, Extrapolation, and Risk

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Author Info
Josef Lakonishok
Robert W. Vishny
Andrei Shleifer

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Abstract

For many years, stock market analysts have argued that value strategies outperform the market. These value strategies call for buying stocks that have low prices relative to earnings, dividends, book assets, or other measures of fundamental value. While there is some agreement that value strategies produce higher returns, the interpretation of why they do so is more controversial. This paper provides evidence that value strategies yield higher returns because these strategies exploit the mistakes of the typical investor and not because these strategies are fundamentally riskier.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 4360.

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Date of creation: May 1993
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Publication status: published as Journal of Finance, December 1994, Vol. XLIX, No. 5, pp. 1541-1578.
Handle: RePEc:nbr:nberwo:4360

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This page was last updated on 2008-7-24.

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