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Professor Tano Santos is the head of research for the Heilbrunn Center. The Heilbrunn Center for Graham & Dodd Investing engages in rigorous analysis to identify anomalies in asset pricing.

Research is focused at the intersection of microeconomics and behavioral finance. Select research papers are available for review online. Other works may be viewed with permission of the center.

Value Investing Retrospective

A portfolio strategy that select stocks with strong value characteristics, e.g. book to market ratio, has on average outperformed overall market and growth stocks. For example, one dollar invested in large value stocks in 1965 was worth $177 at the end of 2005. A similar investment in the overall market would be worth only 57 dollars.

The one dollar investment in small value stocks was worth 919 dollars!

This project will briefly summarize the findings in academic papers about value-oriented stock-selection methods from the past two decades. The papers will review the success of the value strategies in the US data in small and large stocks and international stock data as well. The information provided here is meant to provide an entry point to the empirical value studies past and present.

 Download the Value Investing Retrospective (PDF, 12MB)


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Heilbrunn Director Bruce Greenwald presents at Bayern LB in Munich, Germany, in 2008.

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