Questions tagged [value-investing]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
1
vote
1answer
26 views

How to normalise companies relative to each other? Remove the effect of macro-economy?

I want to focus on companies-performance only and as much as possible remove the effect of macro-economy. Interest rate changes, crisis, inflation etc. There are 2 goals: Simplification of analysis ...
0
votes
0answers
33 views

On what LvL does Game Theory work in Investing?

Evening Ladies and Lads, I was thinking about GT and the impact it has on Investing. I was listening to an Interview with an Energy Trader: https://www.youtube.com/watch?v=2Y0kq4P7c_E he said that, ...
0
votes
1answer
110 views

How to Calculate ROIC (Return on Invested Capital)

I am trying to calculate ROIC based on data I receive from Yahoo Financials. A comprehensive output of what I receive from the site is below, which elements of this can I put together to get ROIC? <...
0
votes
0answers
40 views

Value premium / HML - Long/short portfolio useful?

I'm currently working on a paper about the value premium. Right now I'm wondering if there's any reason why calculating the long-short portfolio return as a difference between the high B/E portfolio ...
0
votes
0answers
28 views

Costly reversibility and countercyclical cost of risk - confusion

I'm currently working on potential explanations behind the value premium. As there're two school of thoughts, rational pricing describing fundamental risk in value stocks vs. irrational behavior, I ...
0
votes
0answers
6 views

Value Effect Analysis: Omit negative BE/ME companies or how to classify them?

I hope this question is allowed here, otherwise please delete it. Currently I'm working on a historic analysis of the value investment strategy. The foundation of this work is to classify the ...
1
vote
0answers
14 views

How to retrieve for the entire universe past performance, shareholder friendliness and cheapness metrics?

I recently read Good Stocks Cheap (and took a course run by the author). I have summarised in a table attached to this post the past performance, shareholder friendliness and cheapness benchmarks he ...
1
vote
1answer
265 views

Expanding window vs Rolling window z-score

I wish to find the z-score of a value measure( e/g P/E ratio) to compare them across asset classes, currently i am using an expanding window z-score to calculate the long-term mean and standard ...
1
vote
0answers
41 views

Crisis in in-sample period

I am backtesting a value momentum asset allocation strategy and my in sample period is from 2003 to 2011 and out sample from 2012 to 2019. I am optimising a cutoff for value on in sample to allocate ...
2
votes
2answers
85 views

What is a robust method to determine if the stock's market price is below its intrinsic value and can be bought in a Fundamental analysis perspective?

It is a very common idea that Fundamental analysis looks at the intrinsic value of a stock, but if I were to look at the stock market right now, I just see the movement of the price of the stock, ...
2
votes
1answer
387 views

Comparing Values of 5s and 7% Notes (Security Analysis by Benjamin Graham)

I was reading Security Analysis by Benjamin Graham (Sixth Edition). Page 63, last paragraph says: A third kind of analytical conclusion may be illustrated by a comparison of Interborough ...
0
votes
1answer
78 views

Discounted free cash flow valuation

I started valuating company based on their free cash flow by using DCF valuation.But for some companies i came across negative free cash flow for all years. How can we evaluate company with negative ...
2
votes
0answers
57 views

Looking for: List of 30 top-performing value investors in the US (AUM 100USD mn+; 10 years)

we are currently looking to build another database sourced by crawling the SEC (freely available at SimFin). Our goal is to build a monthly updating database showing the holdings of the top value-...
1
vote
0answers
177 views

What are the latest developments on “Value Averaging”?

If you search with Google "Value Averaging", you're swamped with dozens of web pages which explain how it works, why lump-sum investing is better and why not, template Excel sheets and so forth. So I ...
3
votes
2answers
232 views

Have any other factor “styles” which explain equity returns been uncovered?

I know this is an inherently broad question, so I will attempt to clarify what I mean by factor "styles". I am not looking for a compendium of "anomalies", per se, but rather for categorical themes ...
3
votes
2answers
147 views

Bond Valuation and liquidity

Assuming the market is perfect liquid, the bond price can be replicated and is related as follows: $$\sum_{t=0}^{N}c_ne^{-Y(t_n-t)}=\sum_{t=0}^{N}c_nP_{t_n}=\sum_{t=0}^{N}c_ne^{-Y_{t,t_n}(t_n-t)}$$ ...
2
votes
1answer
74 views

How to evaluate companies with different rate of growth rate?

I'm trying to do a value analysis within a group of companies with very different growth rate, here are some method I've explored: P/E ratio. By this measurement most top value companies are those ...
2
votes
0answers
69 views

Underperformance of low vol factor after US presidential election, comeback of Value

My question is about factor investing. In most equity markets (Europe, US) the factors momentum and low volatility have outperformed the cap weighted indices in the last couple of years while the ...