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1) Really enjoyed @CliffordAsness's paper "Is (systematic) value investing dead?
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3554267
It discusses if it is the case that the strategy no longer works. Why would that be?
1 - Everyone knows about it; and
2 - Times are different since GFC.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3554267
It discusses if it is the case that the strategy no longer works. Why would that be?
1 - Everyone knows about it; and
2 - Times are different since GFC.
2) This paper can be used to inform both systematic and fundamental strategies.
There have been a number of post rationalisations to try to explain the underperformance:
1 - B/P does not work for large stocks;
2 - Buyback distort B making B/P less useful;
There have been a number of post rationalisations to try to explain the underperformance:
1 - B/P does not work for large stocks;
2 - Buyback distort B making B/P less useful;
3)
3 - Intangibles are more important in this day and age and they can be incorrectly shown in accounts;
4 - CB intervention has lowered discount rates, which is distorting prices; and
5 - Everyone knows the strategy.
3 - Intangibles are more important in this day and age and they can be incorrectly shown in accounts;
4 - CB intervention has lowered discount rates, which is distorting prices; and
5 - Everyone knows the strategy.
4) If you are interested in negative equity and the impact on book value, see https://www.osam.com/Commentary/negative-equity-veiled-value-and-the-erosion-of-price-to-book
by @tbfairchild's piece for @OSAMResearch
by @tbfairchild's piece for @OSAMResearch
@Greenbackd, I'm sure you have seen Cliff's paper, but if not thought that you would find it interesting!
