{"title":"只做多的价值投资:规模重要吗?","authors":"Jack R. Vogel","doi":"10.2139/ssrn.4078256","DOIUrl":null,"url":null,"abstract":"The academic value factor (long cheap stocks, short expensive stocks) earns higher returns among small-cap stocks. When viewed through the lens of a long-only value investor, however, size is a less important factor. For example, equally weighted large-cap value portfolios have historically earned similar returns as small-cap value portfolios. This finding is robust to different value measures and markets. Despite realized returns being statistically similar, the liquidity profile of the two value portfolios is dramatically different: Equally weighted large-cap value portfolios have approximately 11 times (or more) the liquidity of small-cap value portfolios.","PeriodicalId":74863,"journal":{"name":"SSRN","volume":"13 1","pages":"107 - 121"},"PeriodicalIF":0.0000,"publicationDate":"2022-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Long-Only Value Investing: Does Size Matter?\",\"authors\":\"Jack R. Vogel\",\"doi\":\"10.2139/ssrn.4078256\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The academic value factor (long cheap stocks, short expensive stocks) earns higher returns among small-cap stocks. When viewed through the lens of a long-only value investor, however, size is a less important factor. For example, equally weighted large-cap value portfolios have historically earned similar returns as small-cap value portfolios. This finding is robust to different value measures and markets. Despite realized returns being statistically similar, the liquidity profile of the two value portfolios is dramatically different: Equally weighted large-cap value portfolios have approximately 11 times (or more) the liquidity of small-cap value portfolios.\",\"PeriodicalId\":74863,\"journal\":{\"name\":\"SSRN\",\"volume\":\"13 1\",\"pages\":\"107 - 121\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-10-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"SSRN\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.4078256\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"SSRN","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.4078256","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The academic value factor (long cheap stocks, short expensive stocks) earns higher returns among small-cap stocks. When viewed through the lens of a long-only value investor, however, size is a less important factor. For example, equally weighted large-cap value portfolios have historically earned similar returns as small-cap value portfolios. This finding is robust to different value measures and markets. Despite realized returns being statistically similar, the liquidity profile of the two value portfolios is dramatically different: Equally weighted large-cap value portfolios have approximately 11 times (or more) the liquidity of small-cap value portfolios.
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