Articles Available to Download
Browne, C.H., Browne W.H., Spears J.D., Shrager, T.H., & Wyckoff, R.Q. “What has Worked in Investing: Studies of Investment Approaches and Characteristics Associated with Exceptional Returns” (1992).
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Dubinsky, Andrew. “Value Investing Retrospective” Heilbrunn Center for Graham and Dodd Investing Research Project (2006).
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Fama, Eugene and Kenneth R. French. “Value versus growth: The international
evidence” Journal of Finance 53 (1998): 1975–1999.
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Lakonishok, J., A. Shleifer and R. Vishny. “Contrarian investment, extrapolation, and risk” Journal of Finance 49 (1994): 1541–1578.
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La Porta, R., J. Lakonishok, A. Shleifer and R. Vishny. “Good news for value stocks: Further evidence on market efficiency” Journal of Finance 52 (1997): 859–874.
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Other Articles and Papers
Ball, R., and S. Kothari. “Non-stationary expected returns: Implications for tests of market efficiencies and serial correlation of returns” Journal of Financial Economics 25 (1989): 51–74.
Banz, Rolf W. “The relationship between return and market value of common stocks” Journal of Financial Economics 9 (1981): 3–18.
Banz, Rolf W., and William J. Breen. “Sample dependent results using accounting and market data: Some evidence” Journal of Finance 41 (1986): 779–793.
Barro, R. “The stock market and investment” Review of Financial Studies 3 (1990): 115–131.
Basu, S. “Investment performance of common stocks in relation to their price earnings ratios: A test of the efficient markets hypothesis” Journal of Finance 32 (1977): 663–682.
Bernard, V. and J. Thomas. “Post-earnings announcement drift: Delayed price response or risk premium” Journal of Accounting Research 27, supplement (1989): 1–36.
Black, F. “Noise” Journal of Finance 41 (1986) 529–543.
Bleiberg, Steven. “Price-earnings ratios as a valuation tool.” In Readings in Investments edited by Stephen Lofthouse, 341–351. Hoboken, N.J.: John Wiley & Sons, Ltd., 1994.
Campbell, John Y. and Robert J. Shiller. “Valuation ratios and the long-run stock market outlook” Journal of Portfolio Management 24 (1998).
Capaul, C., I. Rowley and W. Sharpe. “International value and growth stock returns” Financial Analysts Journal January (1993): 27–36.
Chan, Louis K.C., Narasimhan Jegadeesh and Josef Lakonishok. “Evaluating the performance of value versus glamour stocks” Journal of Financial Economics 31 (1995): 235–268.
Chopra, N., J. Lakonishok and J. Ritter. “Measuring abnormal performance: Do stocks overreact?” Journal of Financial Economics 31 (1992): 235–268.
Claessens, Stijn, Susmita Dasgupta and Jack Glen. “The cross-section of stock returns: Evidence from emerging markets” Emerging Markets Quarterly 2 (1998): 4–13.
Cole, Kevin, Jean Helwege and David Laster. “Stock market valuation indicators: Is this time different?” Financial Analysts Journal May–June 1996.
Daniel, Kent and Sheridan Titman. “Evidence on the characteristics of cross-sectional variation in stock returns” Journal of Finance 52 (1997): 1–34.
Daniel, Kent, David Hirshleifer and Avanidhar Subrahmanyam. “Investor psychology and security market under- and overreactions” Journal of Finance 53 (1998): 1839–1885.
Davis, James L. “The cross-section of realized stock returns: The pre-COMPUSTAT evidence” Journal of Finance 49 (1994): 1579–1594.
De Bondt, Werner F.M. and Richard H. Thaler. “Does the stock market overreact?” Journal of Finance 40 (1985): 793–805.
Fama, Eugene F. and Kenneth R. French. “Dividend yields and expected stock returns” Journal of Financial Economics 22 (1988)
Fama, Eugene F. and Kenneth R. French. “The cross-section of expected stock returns” Journal of Finance 47 (1992): 427–466
Ferson, Wayne E. and C. R. Harvey. “Sources of predictability in portfolio returns”
Financial Analysts Journal 47 (1991): 49–61.
Haugen, Robert A. and Nardin L. Baker. “Commonality in the determinants of expected stock returns” Journal of Financial Economics 41 (1996) 401–439
Hong, Harrison and Jeremy C. Stein. “A unified theory of underreaction, momentum trading, and overreaction in asset markets” Working paper, MIT, 1997
Jegadeesh, Narasimhan and Sheridan Titman. “Returns to buying winners and selling losers: Implications for stock market efficiency” Journal of Finance 48 (1993): 65–91.
Kothari, S.P., J. Shanken and R. Sloan. “Another look at the cross-section of expected returns” Journal of Finance 50: (1992).
Lakonishok, J., A. Shleifer, R. Thaler and R. Vishny. “Window dressing by pension fund managers” American Economic Review Papers and Proceedings 81 (1991): 227–231.
Lakonishok J., A. Shleifer and R. Vishny. “The impact of institutional trading on stock prices” Journal of Financial Economics 32 (1992): 23–43.
Little, I. “Higgledy piggledy growth” Bulletin of the Oxford University Institute of Economics and Statistics 24, November 1962.
Loughran, Tim. “Book-to-market across firm size, exchange, and seasonality: Is there an effect?” Journal of Financial and Quantitative Analysis 32 (1997): 249–268.
Rosenberg, B., K. Reid and R. Lanstein. “Persuasive evidence of market inefficiency” Journal of Portfolio Management 11 (1984): 9–17.
Rouwenhorst, K. “Local return factors and turnover in emerging stock markets” Journal of Finance 54 (1999): 1439–1464.
Shiller, R. “Stock prices and social dynamics” Brookings Papers on Economic Activity (1984): 457–498.
Shleifer, A. and R. Vishny. “Equilibrium short horizons of investors and firms”
American Economic Review Papers and Proceedings 80 (1990): 148–153.