The second method for boosting the performance of book value as a predictor of future investment returns is Joseph D. Piotroski’s elegant F_SCORE. Piotroski first discussed his F_SCORE in 2002 in Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers. In the paper, Piotroski examines whether the application of a simple accounting-based fundamental analysis strategy [...]
Archive for November, 2009
Piotroski’s F_SCORE
Posted in About, Stocks, Value Investment, tagged Book value, F_SCORE, Piotroski, Price-to-book Value, Value Investment on November 30, 2009 | 4 Comments »
Happy Thanksgiving, Folks
Posted in About, Greenbackd, tagged Greenbackd on November 26, 2009 | Leave a Comment »
See you Monday.
Contrarian Investment, Extrapolation, and Risk: LSV’s Two-Dimensional Classifications
Posted in About, Stocks, Value Investment, tagged Asset Value, Price-to-book Value on November 25, 2009 | 30 Comments »
This week we’ve been examining the various studies that have considered book value as a predictor of future investment returns, and methods for “juicing” or improving its performance. Josef Lakonishok, Andrei Shleifer, and Robert Vishny’s landmark 1994 study Contrarian Investment, Extrapolation, and Risk examined book value in the context of a larger investigation into the performance [...]
Juicing P/B: Piotroski F_SCORE and LSV’s Two-Dimensional Classifications
Posted in About, Stocks, Value Investment, tagged Price-to-book Value on November 24, 2009 | 1 Comment »
Price-to-book value is demonstrably useful as a predictor of future investment returns. As we discussed yesterday in Testing the performance of price-to-book value, various studies, including Roger Ibbotson’s Decile Portfolios of the New York Stock Exchange, 1967 – 1984 (1986), Werner F.M. DeBondt and Richard H. Thaler’s Further Evidence on Investor Overreaction and Stock Market Seasonality (1987), [...]
Testing the performance of price-to-book value
Posted in About, Stocks, Value Investment, tagged Asset Value, Price-to-book Value, Value Investment on November 23, 2009 | 16 Comments »
This site is dedicated to undervalued asset situations, but I haven’t yet spent much time on undervalued asset situations other than liquidations and Graham net current asset value stocks. Two areas worthy of further study are low price-to-book value stocks and low price-to-tangible book value stocks. I’ve found that it is difficult to impossible to [...]
Soapstone Networks Inc (OTC:SOAP) Q3 2009 10Q update
Posted in Activist Investors, Mithras Capital, Soapstone Networks Inc (NASDAQ:SOAP), Stocks, tagged Liquidation, Liquidation Value, Soapstone Networks Inc (NASDAQ:SOAP) on November 19, 2009 | Leave a Comment »
Soapstone Networks Inc (NASDAQ:SOAP) has released its 10Q for the period ended September 30, 2009. We first looked at SOAP on February 2nd (see Greenbackd’s post archive here) because it was trading well below its net cash value. An activist investor, Mithras Capital, had disclosed an 8.7% holding and called on the company to liquidate. [...]
Chart of the DJIA priced in gold: Buffett and gold redux
Posted in About, Austrian Economics, Stocks, tagged Austrian School of Economics, DJIA, Gold on November 18, 2009 | 3 Comments »
One of my favorite macro indicators is the long-term Dow:gold ratio. Rolph Winkler of Reuters blog Contingent Capital did the heavy lifting last week to produce a chart of the Dow Jones Industrial Average priced in gold per ounce since 1900: The Dow:gold ratio is not everyone’s cup of tea. Paul Kedorosky likens it to [...]
E’s not pinin’! E’s passed on! This IPO market is no more! ‘E has ceased to be! ‘E’s expired and gone to meet ‘is maker!
Posted in About, Stocks, tagged IPO, Stocks on November 17, 2009 | Leave a Comment »
The Economist has an article, High-speed slide, which discusses a recent study by Grant Thornton about the disappearance of the initial public offering (IPO) market in the U.S., and, in particular, the death of the small IPO. In the October 2009 study, Market structure is causing the IPO crisis, authors David Weild and Edward Kim [...]
List of activist investments for October
Posted in Stocks on November 16, 2009 | 5 Comments »
The Official Activist Investing Blog has published its list of activist investments for October: Ticker Company Investor ADPT Adaptec Inc. Steel Partners ARGL.OB Argyle Security, Inc. Mezzanine Management ASCMA Ascent Media GAMCO Investors ASPM Aspect Medical Systems Covidien plc BARE Bare Escentuals Sandler Capital Management BASI Bioanalytical Systems Inc Thomas Harenburg BLDR Builders FirstSource Inc. [...]
-
Twitter Updates
- Why Does an Equal-Weighted Portfolio Outperform Market Capitalization- and Price-Weighted Portfolios? wp.me/pnq1T-1td 4 hours ago
- Equal Weight and Fundamental Indexing Beats The Market wp.me/pnq1T-1sV 1 day ago
- Value-Weighted Indexing: The Problem with Active Management wp.me/pnq1T-1sF 2 days ago
- Joel Greenblatt's solution to value investors' behavioral errors wp.me/pnq1T-1s4 3 days ago
- Volatility at World's End: Two Decades of Movement in Markets wp.me/pnq1T-1ry 6 days ago
-
Top Posts
- How to beat the market: Joel Greenblatt's List of Four Things Not To Do
- Value-Weighted Indexing: The Problem with Active Management
- Equal Weight and Fundamental Indexing Beats The Market
- Joel Greenblatt's solution to value investors' behavioral errors
- Why Does an Equal-Weighted Portfolio Outperform Market Capitalization- and Price-Weighted Portfolios?
Seeking Alpha Contributor
Blogroll
- Abnormal Returns
- Breakout Performance
- Calculated Risk
- Cheap Stocks
- Compounding Machines
- Controlled Greed
- Dealbook
- Distressed Debt Investing
- Empirical Finance Research
- footnoted.org
- Graham NCAV Screen
- GuruFocus
- Hedge Fund Jobs
- Insider Monkey
- Manual of Ideas
- Official Activist Investing Blog
- Old School Value
- Oozing Alpha
- Shadowstock blog
- Simoleon Sense
- Stingy Investor
- Street Capitalist
- SumZero
- Value Investing Blog
- Value Uncovered
- Yes and Not Yes
Archives
- May 2012
- April 2012
- February 2012
- December 2011
- November 2011
- July 2011
- June 2011
- December 2010
- November 2010
- October 2010
- September 2010
- August 2010
- July 2010
- June 2010
- May 2010
- April 2010
- March 2010
- February 2010
- January 2010
- December 2009
- November 2009
- October 2009
- September 2009
- August 2009
- July 2009
- June 2009
- May 2009
- April 2009
- March 2009
- February 2009
- January 2009
- December 2008
