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Fundamental Value Investors: Characteristics and Performance

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  • Gray, Wesley
  • Kern, Andrew

Abstract

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.

Suggested Citation

  • Gray, Wesley & Kern, Andrew, 2008. "Fundamental Value Investors: Characteristics and Performance," MPRA Paper 12620, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:12620
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    References listed on IDEAS

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    Cited by:

    1. Gray, Wesley, 2008. "Information Exchange and the Limits of Arbitrage," MPRA Paper 11918, University Library of Munich, Germany, revised 31 Nov 2008.

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    More about this item

    Keywords

    Value investing; abnormal returns; hedge funds; market efficiency; Valueinvestorsclub.com performance;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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