Value premium decline?

[dpcarey123]

I have been rereading some of my FT investment books but they seem to be a bit dated. I am now reading a few academic papers about the decline in success of value investing (post 2009 I presume; I am sure this isn't the first time this claim has been made). Any threads about better markers of value in the post 2009 world that I have missed than price to book PE, yield, debt?

Not sure how many of these are what we academics call open access!:

Gonçalves, A. S., & Leonard, G. (2023). The fundamental-to-market ratio and the value premium decline. Journal of Financial Economics, 147(2), 382-405.

Yin, L., & Liao, H. (2024). Anatomy of recent value premium's travails. International Review of Financial Analysis, 103325.

Arnott, R. D., Harvey, C. R., Kalesnik, V., & Linnainmaa, J. T. (2021). Reports of value’s death may be greatly exaggerated. Financial Analysts Journal, 77(1), 44-67. (this must be Rob Arnott?)

Lev, B., & Srivastava, A. (2019). Explaining the recent failure of value investing. NYU Stern School of Business. (this one is not behind a paywall).

A few of the papers including this one make a big fuss about "intangible assets" like serious investment in R and D that in some sense are keeping may of the big growth stocks alive and well.

I just cant help look at dividends, debts and PE ratios! Am I old fashioned?

Any thoughts or threads I should be reading? Many thanks all.

David C.

[dpcarey123]

these are not behind paywalls if anyone is interested?

Eisfeldt, A. L., Kim, E., & Papanikolaou, D. (2020). Intangible value (No. w28056). National Bureau of Economic Research.

Blitz, D., & Hanauer, M. X. (2020). Resurrecting the value premium. Available at SSRN 3705218.

Nissim, D. (2021). Earnings quality. Columbia Business School Research Paper.

Blitz, D. (2020). Factor performance 2010-2019: A lost decade?. Available at SSRN 3562242.

My one and only economics course was 30 years ago, but as a scientist I can't help but look at some of the literature!

[clissold345]

If you're interested in UK smallcap value investing you could look at Paul Scott and Graham Neary's smallcap value report on stockopedia. You can take out a free subscription to stockopedia for 14 days. For some years (eg last year?) I think you'll be able to check how their published portfolios performed (though their published portfolios may not be exclusively value shares?). I'm not a stockopedia subscriber but I do occasionally listen to Paul's podcast.

https://shows.acast.com/paulscottsmallcaps

[vand]

There are two ways to approach it - bottom up and top down. Bottom up looks at companies first, but top down looks at sectors and countries that are well acknowledged to be cheap.

If you go looking for cheap stocks in the US you're just going to have much slimmer pickings than if you look in China, or even the UK right now. Likewise if you are looking at tech Vs reits.