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Fundamental Value Investors: Characteristics and Performance

  • Gray, Wesley
  • Kern, Andrew

We examine novel data on the detailed investment decisions of professional value investors. We find evidence that value investors are not easily defined: they exploit traditional tangible asset valuation discrepancies such as buying high book-to-market stocks, but spend more time analyzing intrinsic value, growth measures, and special situation investments. We also test whether fundamental value investors outperform the market in our sample (January 2000 to June 2008). Analyzing buy-and-hold abnormal returns and calendar-time portfolio regressions, we conclude that value investors have stock picking skills.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 12620.

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Date of creation: 18 Dec 2008
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Handle: RePEc:pra:mprapa:12620
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