The Fall 2010 edition of the Graham and Doddsville Newsletter, Columbia Business School‘s student-led investment newsletter co-sponsored by the Heilbrunn Center for Graham & Dodd Investing and the Columbia Investment Management Association, has a fascinating interview with Donald G. Smith. Smith, who volunteered for Benjamin Graham at UCLA, concentrates on the bottom decile of price to tangible book stocks [...]
Posts Tagged ‘Price-to-book Value’
Donald G. Smith on price-to-tangible book value
Posted in Liquidation Value, Stocks, tagged Donald G. Smith, Liquidating Value, Price-to-book Value on October 29, 2010 | Leave a Comment »
Greenbackd Contrarian Value Portfolio Update
Posted in About, Value Investment, tagged Asset Value, Price-to-book Value, Value Investment on March 30, 2010 | 9 Comments »
In a post in late November last year, Testing the performance of price-to-book value, I set up a hypothetical equally-weighted portfolio of the cheapest price-to-book stocks with a positive P/E ratio discovered using the Google Screener, which I called the “Greenbackd Contrarian Value Portfolio“. The portfolio has been operating for a little over 4 months, so I [...]
How P/E juices P/B returns
Posted in About, Quantitative investment, Stocks, Value Investment, tagged Price-to-book Value, Quantitative, Value Investment on March 1, 2010 | 3 Comments »
As I’ve discussed in the past, P/B and P/E are demonstratively useful as predictors of future stock returns, and more so when combined (see, for example, LSV’s Two-Dimensional Classifications). As Josef Lakonishok, Andrei Shleifer, and Robert Vishny showed in Contrarian Investment, Extrapolation, and Risk, within the set of firms whose B/M ratios are the highest (in other [...]
Near Graham net nets vs Ultra-low price-to-book value stocks
Posted in About, Net Current Asset Value, Stocks, Value Investment, tagged NCAV, Net Current Asset Value, Price-to-book Value on December 16, 2009 | 2 Comments »
I’m setting up a new experiment for 2009/2010 along the same lines as the 2008/2009 Net Net vs Activist Legend thought experiment pitting a little Graham net net against activist investing legend Carl Icahn (Net Net vs Activist Legend: And the winner is…). This time around I’m pitting a small portfolio of near Graham net nets against a [...]
A closer look at the “High Minus Low” strategy: HML returns (Part 2)
Posted in About, Stocks, Value Investment, tagged BM, High Minus Low, HML, P/B, Price-to-book Value on December 11, 2009 | 2 Comments »
In yesterday’s post we discussed some informal analysis I’ve undertaken on the returns to the quantitative investment strategy known as “High Minus Low” or HML. The first step was an analysis of HML’s components, high and low BM stocks. I described the HML strategy in some detail and analysed the long-term diminution in the returns to [...]
A closer look at the “High Minus Low” strategy: Component returns (Part 1)
Posted in About, Stocks, Value Investment, tagged High Minus Low, Price-to-book Value on December 10, 2009 | 7 Comments »
Recently we discussed a Goldman Sachs Asset Management (GSAM) presentation, Maybe it really is different this time, in which GSAM argued that High Minus Low or HML, a quantitative investment strategy that seeks to profit from the performance differential between high and low book value-to-market value (BM) stocks, had underperformed since August 2007 due to “overcrowding.” Robert [...]
Goldman Sachs says P/B dead-as-dead; Special sits and event-driven strategies the new black
Posted in About, Greenbackd, Liquidation Value, Stocks, Value Investment, tagged Liquidating Value, Price-to-book Value, Special situations on December 2, 2009 | 4 Comments »
The phenomenal Zero Hedge has an article, Goldman Claims Momentum And Value Quant Strategies Now Overcrowded, Future Returns Negligible, discussing Goldman Sachs head of quantitative resources Robert Litterman’s view that ”strategies such as those which focus on price rises in cheaply-valued stocks…[have] become very crowded” since August 2007 and therefore unprofitable. The strategy to which [...]
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 »
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 [...]
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), [...]
-
Twitter Updates
- Look Out Below: Global Graham / Shiller Cyclically Adjusted PEs Still Expensive wp.me/pnq1T-1uR 4 hours ago
- @jasonzweigwsj Is Warren Buffett skilled or lucky? Yes? 1 day ago
- How to estimate the long-term return on stocks: What does the future hold? wp.me/pnq1T-1uD 1 day ago
- How to estimate the long-term return on stocks wp.me/pnq1T-1um 2 days ago
- Buffett buys newspaper division of Media General $MEG wp.me/pnq1T-1ui 3 days ago
-
Top Posts
- How to estimate the long-term return on stocks: What does the future hold?
- How to estimate the long-term return on stocks
- Look Out Below: Global Graham / Shiller Cyclically Adjusted PEs Still Expensive
- Man versus Magic Formula: Joel Greenblatt's Value Investors' Club vs his Little Book
- Active versus passive value investing: Does spending time researching a company’s fundamentals generate higher returns?
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
- June 2012
- 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
