{"title":"Mean‐reversion risk and the random walk hypothesis","authors":"C. K. Jones","doi":"10.1002/rfe.1184","DOIUrl":"https://doi.org/10.1002/rfe.1184","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42794974","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Classic value investing à la Graham & Dodd (Security analysis: The classic, McGrawHill, New York, 1934) focuses on selecting stocks that seem cheap relative to their intrinsic value and fundamental quality. We use Bayesian inference to account for a large amount of uncertainty within intrinsic value estimation. We find that an undervalued-minus-overvalued factor that invests in cheap quality stocks and sells expensive junk stocks selected via Bayesian inference yields high risk-adjusted returns and Sharpe ratios for equal-weighted portfolios. We also find that using value-weighted portfolios introduces size-based dilutions and shifts the focus away from actual quality characteristics like profitability, payout, safety, and past growth. Our findings suggest that while the relative benefit of accounting for uncertainty via Bayesian inference is not large over shorter holding periods, it pays off for investment horizons longer than a month.
经典价值投资(la Graham &;Dodd(证券分析:经典，McGrawHill，纽约，1934)侧重于选择相对于其内在价值和基本质量似乎便宜的股票。我们使用贝叶斯推理来解释内在价值估计中的大量不确定性。我们发现，一个被低估-被高估的因子，投资于廉价的优质股票，并出售通过贝叶斯推理选择的昂贵的垃圾股票，对于等权重的投资组合，可以产生高的风险调整回报和夏普比率。我们还发现，使用价值加权投资组合引入了基于规模的稀释，并将焦点从实际质量特征(如盈利能力、支出、安全性和过去的增长)转移开。我们的研究结果表明，虽然通过贝叶斯推理计算不确定性的相对好处在较短的持有期内并不大，但对于超过一个月的投资期限来说，它是值得的。
{"title":"Value investing via Bayesian inference","authors":"Bernd Huefner, Marcel Rueenaufer, Martin Boesch","doi":"10.1002/rfe.1185","DOIUrl":"https://doi.org/10.1002/rfe.1185","url":null,"abstract":"Classic value investing à la Graham & Dodd (Security analysis: The classic, McGrawHill, New York, 1934) focuses on selecting stocks that seem cheap relative to their intrinsic value and fundamental quality. We use Bayesian inference to account for a large amount of uncertainty within intrinsic value estimation. We find that an undervalued-minus-overvalued factor that invests in cheap quality stocks and sells expensive junk stocks selected via Bayesian inference yields high risk-adjusted returns and Sharpe ratios for equal-weighted portfolios. We also find that using value-weighted portfolios introduces size-based dilutions and shifts the focus away from actual quality characteristics like profitability, payout, safety, and past growth. Our findings suggest that while the relative benefit of accounting for uncertainty via Bayesian inference is not large over shorter holding periods, it pays off for investment horizons longer than a month.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138529156","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We develop a profile of overvalued equity, and show that firms meeting this profile experience abnormal stock returns net of transaction costs of −22% to −25% over the 12 months following portfolio formation. We show our model is distinct from predictors proposed in prior work, and our results robust to alternative measurements of expected returns. We also show that overvaluation is not confined to small firms and that institutions do not trade as if they identify overvalued equity. The profitable predictability we document suggests a pricing anomaly relating to the 2.5% of the firms in the population that our model identifies as substantially overvalued. Although we believe markets are generally efficient within the bounds of transaction costs, our evidence suggests that violations of minimally rational use of publicly available information do occur. To the extent that anomalies disappear or attenuate once documented in the literature (Doukas et al., 2002 [European Financial Management, 2002, 8, 229]; Schwert, 2003 [Handbook of the Economics of Finance, 2003, 1, 939]), our results are of interest to financial economists and investors.
我们建立了一个估值过高的股票概况，并表明符合这一概况的公司在投资组合形成后的12个月内经历了交易成本为- 22%至- 25%的异常股票回报。我们表明我们的模型不同于先前工作中提出的预测因子，并且我们的结果对预期回报的替代测量具有鲁棒性。我们还表明，估值过高并不局限于小公司，而且机构并不像识别估值过高的股票那样进行交易。我们记录的盈利可预测性表明，在我们的模型中，人口中有2.5%的公司被认为存在严重高估的定价异常。尽管我们认为市场在交易成本的范围内通常是有效的，但我们的证据表明，违反最低限度合理使用公开信息的行为确实发生了。在某种程度上，一旦在文献中记录异常就会消失或减弱(Doukas et al.， 2002 [European Financial Management, 2002, 8,229];Schwert, 2003 [Handbook of Economics of Finance, 2003, 1,939])，我们的研究结果引起了金融经济学家和投资者的兴趣。
{"title":"Identifying overvalued equity","authors":"Messod D. Beneish, David Craig Nichols","doi":"10.1002/rfe.1182","DOIUrl":"https://doi.org/10.1002/rfe.1182","url":null,"abstract":"We develop a profile of overvalued equity, and show that firms meeting this profile experience abnormal stock returns <i>net of transaction costs</i> of −22% to −25% over the 12 months following portfolio formation. We show our model is distinct from predictors proposed in prior work, and our results robust to alternative measurements of expected returns. We also show that overvaluation is not confined to small firms and that institutions do not trade as if they identify overvalued equity. The profitable predictability we document suggests a pricing anomaly relating to the 2.5% of the firms in the population that our model identifies as substantially overvalued. Although we believe markets are generally efficient within the bounds of transaction costs, our evidence suggests that violations of minimally rational use of publicly available information do occur. To the extent that anomalies disappear or attenuate once documented in the literature (Doukas et al., 2002 [European Financial Management, 2002, 8, 229]; Schwert, 2003 [Handbook of the Economics of Finance, 2003, 1, 939]), our results are of interest to financial economists and investors.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138529157","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The effects of foreign bank presence on financial development in Africa: The role of institutional quality","authors":"K. Iddrisu, J. Abor, K. Banyen","doi":"10.1002/rfe.1183","DOIUrl":"https://doi.org/10.1002/rfe.1183","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49127959","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Trust rhetoric and\u0000 CEO\u0000 gender","authors":"Wolfgang Breuer, Andreas Knetsch, A. Salzmann","doi":"10.1002/rfe.1181","DOIUrl":"https://doi.org/10.1002/rfe.1181","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48010311","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Small business administration loans, economic development, and state‐level employment","authors":"Paul E. Orzechowski","doi":"10.1002/rfe.1177","DOIUrl":"https://doi.org/10.1002/rfe.1177","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47520917","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Equity closed‐end fund discounts and taxes","authors":"S. Paudel, S. Silveri, M. Wu","doi":"10.1002/rfe.1175","DOIUrl":"https://doi.org/10.1002/rfe.1175","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2022-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49385671","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Do married CEOs Foster more efficient innovation?","authors":"Chanho Cho, Timothy Mooney, Daewoung Choi, M. Via","doi":"10.1002/rfe.1174","DOIUrl":"https://doi.org/10.1002/rfe.1174","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2022-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48548349","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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