1994/12/01 by Josef Lakonishok, JOSEF LAKONISHOK, ANDREI SHLEIFER +2 · 1 citation
Economics, Econometrics and Finance · Business, Management and Accounting · #Capital Investment and Risk Analysis #Financial Reporting and Valuation Research
paper · doi:10.1111/j.1540-6261.1994.tb04772.x
ABSTRACT For many years, scholars and investment professionals 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 article provides evidence that value strategies yield higher returns because these strategies exploit the suboptimal behavior of the typical investor and not because these strategies are fundamentally riskier.