ناهنجاری های سرمایه گذاری ارزش در بازار سهام اروپا : ارزش های چندگانه، درآمد سازگار، و ارزش به رسمیت شناخته شده

Empirical academic studies have consistently found that value stocks outperform glamour stocks and the market as a whole. This article extends prevailing research on existing value anomalies. It evaluates simple value strategies for the European stock market (compared to many other studies that test market data on a country-by-country basis) as well as sophisticated multi-dimensional value strategies that also include capital return variables (Consistent Earner Strategy) and momentum factors (Recognized Value Strategy), the latter reconciling intermediate horizon momentum and long-term reversals of behavioral finance theories. It can be shown that these “enhanced” value strategies can produce superior returns compared to returns of the whole market or “simple” value strategies without capturing higher risks applying traditional risk measures.

In their 1934 book, Security Analysis1, Benjamin Graham and David Dodd argued that out-of-favor stocks are sometimes underpriced in the marketplace, and that investors cognizant of this phenomenon could capture strong returns. This philosophy is now widely known as value investing. Although value investing has taken many forms since its inception, it generally involves buying shares which appear underpriced based on some form(s) of fundamental analysis. Value shares typically feature low price-to-book, price-to-earnings, or price-to-cash flow ratios, while glamour stocks generally are characterized by valuation metrics at the opposite end of the spectrum. As early as 1977, academic studies have used share price and earning per share data to classify stocks into the value or glamour categories and compare historical performance. Stocks with low price-to-earnings multiples (often called “value” stocks) appear to provide higher rates of return than stocks with high price-to-earnings ratios as first shown by Nicholson (1960) and later confirmed by Ball (1978), Basu, 1977 and Basu, 1983, and Fama and MacBeth (1973).2De Bondt and Thaler (1985) obtain a similar result for their contrarian strategy based on buying stocks with low past returns because of the behavioral hypothesis of investor overreaction. A stock's price-to-book value ratio has also been found to be a useful predictor of future returns. Fama and French (1992) concluded that size and price-to-book value together provide considerable explanatory power for future returns in U.S. markets. These results raised questions about the efficiency of the market if one accepts the capital asset pricing model, as Lakonishok, Schleifer and Vishny pointed out. In 1994, they published “Contrarian Investment, Extrapolation, and Risk3”. Using data from 1968 to 1994, they grouped U.S. stocks into value and glamour segments based on price-to-book, price-to-cash flow, and price-to-earnings ratios, as well as sales growth. The researchers concluded that, for a broad range of definitions of “value” and “glamour”, value stocks consistently outperformed glamour stocks by wide margins. In their 1998 study, “Value versus Growth: The International Evidence”, Fama and French tackled the question of whether value stocks tended to outperform glamour stocks in markets outside the U.S. The researchers found that, from 1975 to 1995, value stocks outperformed glamour stocks in 12 of 13 major national equity markets. In their opinion, this laid to rest the possibility that the value outperformance seen by Lakonishok, Schleifer and Vishny was simply a sample-specific happenstance within the U.S. market.4 While there is some agreement that value strategies have produced superior returns, the interpretation of why they have done so is more controversial. “Behavioralists” believe that investors consistently tend to overpay for “growth” stocks that subsequently fail to live up to expectations (for example, Kahneman & Riepe, 1998 and Gilovich, Griffin, and Kahneman (2002)). In their view value strategies produce higher returns because they are contrarian to “naive” strategies followed by other investors. These naive strategies might range from extrapolating past earnings growth too far into the future, to assuming a trend in stock prices, to overreacting to good or bad news, or to simply equating a good investment with a well-run company irrespective of price. Regardless of the reason, some investors tend to get overly excited about stocks that have done very well in the past and buy them up, so that these “glamour” stocks become overpriced. Similarly, they overreact to stocks that have done very poorly, oversell them, and these out-of-favor “value” stocks become underpriced. This article is based on prevailing research on existing value anomalies.5 It evaluates simple value strategies for the European stock market as well as sophisticated multi-dimensional value strategies that also include capital return variables (Consistent Earner Strategy) and momentum factors (Recognized Value Strategy). In Section 2 of the article our methodology is briefly discussed. Section 3 (a) examines a variety of simple classification schemes for value and glamour stocks based on dividend yield, price-to-book and price-to-earnings ratio. Contrary to many studies that test market data on a country-by-country basis, all strategies are applied and modulated for the European stock market. The EuroStoxx index has been selected as the market proxy. It can be shown that simple value strategies have produced superior returns motivating our subsequent use of variable combinations. Section 3.1 (b) evaluates strategies based on multi-dimensional selection criteria. First, simple value measures are combined (Multi Value Strategy). In a second step we combine more sophisticated multi-dimensional value strategies that also include capital return variables (Consistent Earner Strategy) and momentum factors (Recognized Value Strategy). It can be shown that while multi-dimensional value strategies based on a combination of simple value variables do not further improve investment performance and statistical significance, strategies based on combinations of value and capital return variables (e.g. Return on Equity) improve the statistical significance of results (while generating compatible investment returns). Strategies based on combinations of value and momentum variables improve both investment performance and significance compared to simple value strategies. Finally in Section 4 the question of whether strategies based on our investment selection criteria are fundamentally riskier is evaluated. Evidence is provided that, in general, value strategies have outperformed glamour strategies quite consistently without support for the hypothesis that value strategies are fundamentally riskier than glamour strategies. Conclusions are drawn in Section 5.

Value investing is an investment paradigm that derives from the ideas on investment and speculation that Ben Graham & David Dodd began teaching at Columbia Business School in 1928. Since then numerous empirical academic studies have consistently found that value stocks outperform glamour stocks and the market as a whole. This article extended prevailing research on existing value anomalies. It evaluated simple value strategies for the European stock market (compared to many other studies that test market data on a country-by-country basis) as well as sophisticated multi-dimensional value strategies that also include capital return variables (Consistent Earner Strategy) and momentum factors (Recognized Value Strategy). In Section 3 (a) of this analysis it was shown that a variety of simple classification schemes sorting value and glamour stocks based on dividend yield (DY), price-to-book ratio (P/B) and price-to-earnings ratio (P/E) produced superior returns for value portfolios compared to glamour. As market proxy for the European market the EuroStoxx index was selected. Return differentials (premiums) between value and glamour varied between 5.40% and 12.66% per annum on average depending on the selection criteria chosen during the period from July 15, 1994/95 to June 30, 2008/09. Motivated by these results we subsequently examined portfolio strategies based on two-dimensional selection criteria in Section 3.1 (b). First simple value measures (as evaluated in Section 3 (a)) were combined. It was shown that two-dimensional value strategies (Multiple Value) based on a combination of simple value strategies do not further improve investment performance and statistical significance (in fact, investment returns were smaller and statistically not significant). Subsequently more sophisticated two-dimensional value strategies were evaluated. The Consistent Earner Strategy including capital return variables (e.g. RoE) resulted in investment returns similar to simple value strategies but much better than for single capital return variables. Return differences (premiums) fall in a range between 6.43% and 14.78%. Statistical significance improved substantially.43 The Consistent Earner Strategy mimics investment styles of well-know investors like Warren Buffett or Joel Greenblatt who further developed the value investing concept by focusing on “finding an outstanding company at a sensible price” or buying “cheap and good companies with competitive advantages indicated by a high return on capital” rather than generic companies at a bargain price as originally promoted by Graham and Dodd. With regard to strategies combining momentum and value variables (Recognized Value Strategy), both investment performance differences (premiums) and statistical significance improved compared to simple value and/or simple momentum variables. Investment returns fell in a range between 11.08% and 17.05% per annum on average.44 The Recognized Value Strategy is based on the stock momentum life cycle hypothesis45 stating that stocks move alternately through periods of relative “glamour” and “neglect” attempting to reconcile intermediate horizon momentum and long horizon-reversals of behavioral finance theories. Finally in Section 4 the question of whether strategies based on investment criteria previously chosen are fundamentally riskier was evaluated. Evidence could be provided that, in general, value strategies based both on one- and two-dimensional simple value criteria as well as “sophisticated” strategies including capital return or momentum variables have outperformed glamour strategies quite consistently without support for the hypothesis that value strategies are fundamentally riskier.