Value investing in equities
89 papers on value investing in equities as a systematic trading strategy. Value investing papers on single stocks and equity indices: 89 of the 106 in value investing. 59 name a method, most often linear factor models (57). The most cited is Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varying (2000).
Papers891999–2026
Share of the family84 %89 of 106
| cited by | method | ||
|---|---|---|---|
| Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varying by Lettau and Ludvigson | 465 | Linear factor models | 2000 |
| Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia are Time-Varying by Lettau and Ludvigson | 332 | Linear factor models | 2006 |
| Can Book-to-Market, Size, and Momentum Be Risk Factors that Predict Economic Growth? by Liew and Vassalou | 311 | 1999 | |
| Market Expectations in the Cross Section of Present Values by Kelly and Pruitt | 213 | 2011 | |
| Equilibrium Cross-Section of Returns by Gomes et al. | 135 | 2001 | |
| Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability by Lynch | 79 | 1999 | |
| Disagreement and Return Predictability of Stock Portfolios by Yu | 72 | 2008 | |
| Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns by Barinov and Chabakauri | 52 | Linear factor models | 2007 |
| Cross-Sectional Stock Return Predictability in China by Cakici et al. | 42 | Linear factor models | 2012 |
| Testing the Fama and French Three-Factor Model and its Variants for the Indian Stock Returns by Bahl | 32 | Linear factor models | 2006 |
| Real and Inflationary Macroeconomic Risk in the Fama and French Size and Book-to-Market Portfolios by Kelly | 28 | Linear factor models | 2003 |
| The Cross-Section of German Stock Returns: New Data and New Evidence by Artmann et al. | 23 | Linear factor models | 2010 |
| Tracking Down Distress Risk by Kapadia | 15 | Linear factor models | 2009 |
| CAPM and Time-Varying Beta: The Cross-Section of Expected Returns by Basu and Stremme | 15 | Linear factor models | 2007 |
| Asymmetric Risk Loadings in the Cross Section of Stock Returns by Gu | 15 | State-space models +1 | 2005 |
| Size and Book-to-Market Factors in Australia by O’Brien et al. | 14 | Linear factor models | 2008 |
| Short-Term Interest Rates and Stock Market Anomalies by Maio and Santa‐Clara | 11 | Linear factor models | 2012 |
| Cost of Capital for Pharmaceutical, Biotechnology, and Medical Device Firms by Harrington | 10 | Linear factor models | 2009 |
| Is the Value Premium Predictable in Real Time? by Bauer and Molenaar | 10 | 2002 | |
| The Impact of Uncertainty Shocks on the Cross-Section of Returns by Koh | 8 | 2017 | |
| RIM-Based Value Premium and Factor Pricing Using Value-Price Divergence by Cong et al. | 7 | Linear factor models | 2023 |
| Investment Horizon Effect on Asset Allocation between Value and Growth Strategies by In et al. | 7 | Linear factor models | 2010 |
| Size and Value Premium in Karachi Stock Exchange by Mirza | 6 | Linear factor models | 2008 |
| Systematic Variance Risk and Firm Characteristics in the Equity Options Market by di Pietro and Vainberg | 6 | Linear factor models | 2007 |
| The Small Firm Anomaly: Us and International Evidence by De Moor and Sercu | 6 | Linear factor models | 2005 |
| GDP Mimicking Portfolios and the Cross-Section of Stock Returns by Kroencke et al. | 5 | Linear factor models | 2013 |
| Testing Benjamin Graham's Net Current Asset Value Strategy in London by Xiao and Arnold | 5 | Linear factor models | 2007 |
| The Effect of Market Regimes on Style Allocation by Ammann and Verhofen | 4 | State-space models +2 | 2009 |
| The Relationship Between Asset Growth and the Cross-Section of Stock Returns by Gray and Jouning | 4 | Linear factor models | 2009 |
| Institutional Investors, Intangible Information and the Book-to-Market Effect by Jiang | 4 | Linear factor models | 2008 |
| The Real-Time Predictability of the Size and Value Premium in Japan by Bauer et al. | 4 | 2002 | |
| Understanding the Performance of the Equity Value Factor by Stagnol et al. | 3 | 2021 | |
| Financial Reporting Quality, Investment Horizon, and Institutional Investor Trading Strategies by Bushee et al. | 3 | 2018 | |
| Cash and Value by Medhat | 3 | 2017 | |
| Abnormal Returns to a Fundamental Analysis Strategy: Evidence from India by Banerjee et al. | 3 | Linear factor models | 2014 |
| Financial Crises and the Global Value Premium: Revisiting Fama-French by Yamani and Swanson | 3 | Classical time series +1 | 2011 |
| Do Five Asset Pricing Anomalies Share a Common Mispricing Factor? Multifaceted Empirical Analyses of Failure Risk Proxies, External Financing, and Stock Returns by Ogden and Fitzpatrick | 3 | 2010 | |
| Idiosyncratic Volatility, Aggregate Volatility Risk, and the Cross-Section of Returns by Barinov | 3 | 2009 | |
| A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes by Malevergne and Sornette | 3 | Linear factor models | 2007 |
| Value Investing: Integrating Theory and Practice by Lee | 2 | 2025 | |
| Empirical Tests of the Fama-French Five-Factor Asset Pricing Model in Indonesia and Singapore by Sutrisno and Ekaputra | 2 | Linear factor models | 2016 |
| Decomposition of Book-to-Market and the Cross-Section of Returns for Chinese Shares by Cakici et al. | 2 | Linear factor models | 2015 |
| Where Is the Risk in Value? Evidence From a Market-to-Book Decomposition by Golubov and Konstantinidi | 2 | 2015 | |
| Financial Crises and the Global Value Premium: Revisiting Fama and French by Yamani and Swanson | 2 | Classical time series +1 | 2014 |
| Specialized Human Capital, Unemployment Risk, and the Value Premium by Jank | 2 | 2014 | |
| Evaluation of Efficiency and Explanatory Power of the CAPM and the Fama-French Asset Pricing Models: Evidence from the U.S. Equity Markets by Piela | 2 | Linear factor models | 2013 |
| Insider Trading in Glamour and Value Firms by Gregory et al. | 2 | 2009 | |
| Real Estate Risk in Equity Returns by Funke et al. | 2 | Linear factor models | 2009 |
| Characteristics or Covariance: Further Evidence by Liu et al. | 2 | Linear factor models | 2003 |
| A Comparison of the Efficacy of Liquidity, Momentum, Size and Book-to-Market Value Factors in Equity Pricing on a Heterogeneous Sample: Evidence from Asia by Hearn | 1 | Linear factor models | 2016 |
| Extreme Events in Stock Market Fundamental Factors by Gualtieri and Sizova | 1 | 2015 | |
| Asset Liquidity, Business Risk, and Beta by Câmara and Nejadmalayeri | 1 | Linear factor models | 2009 |
| Comovement and Return Predictability by Wahal and Yavuz | 1 | 2007 | |
| Can Machine Learning Improve Value Investing? Evidence from Japanese High Book-to-Market Stocks by Mukai | 0 | Tree ensembles | 2026 |
| Managerial Expected Growth and Value Premium by Yuan | 0 | 2026 | |
| Testing Fama-French Factors in a Thin Market: Evidence from NGX-Listed Banks by Agbroko | 0 | Linear factor models | 2026 |
| What Do Factor Models Really Price in the Tails? A Noise-Corrected Quantile Reassessment of the Fama-French Five-Factor Model by Wang | 0 | Linear factor models | 2026 |
| Dirty Business: Transition Risk of Factor Portfolios by Jagannathan et al. | 0 | 2025 | |
| Growth Value Two-Factor Model by Yeh and Hsu | 0 | Linear factor models | 2025 |
| Expectation Quality and Return Predictability in Residual Income Valuation : Evidence from Brazil by Firmato | 0 | 2024 | |
| Decomposition of Risk for Small Size and Low Book-to-market Stocks by Kale et al. | 0 | Linear factor models | 2023 |
| Factor Exposure Heterogeneity in Green and Brown Stocks by Ardia et al. | 0 | 2023 | |
| Duration Premium and Term Structure of Equity Returns by Yang and Tamaki | 0 | Linear factor models | 2022 |
| Is Institutional Buying More Informative Than Selling? Evidence From Book-to-Market Ratios by Mihai | 0 | 2022 | |
| Is Value Strategy Still Alive? Evidence from the Chinese A-Share Market by Feng et al. | 0 | 2022 | |
| Excess Discount Return. A Comparative Study of UK Investment Trusts and US Closed-End Funds by Guirguis | 0 | Linear factor models | 2021 |
| Average Equity Return Correlations, Value Factor Returns, and Growth Options by Schönleber | 0 | 2019 | |
| Guirguis Six Factor Model as an Extension of Carhart Four Factor Model. Evidence From the Closed-End Fund Industry by Guirguis | 0 | Linear factor models | 2018 |
| Fama-French 1992 Redux with Robust Statistics by Green and Martin | 0 | Linear factor models | 2017 |
| Return Predictability in Santiago Stock Exchange: An Empirical Analysis Using Portfolio Method by Elias et al. | 0 | 2017 | |
| What Difference Fat Tails Make: A Bayesian MCMC Estimation of Empirical Asset Pricing Models by Glabadanidis | 0 | Bayesian +1 | 2017 |
| Term Structure of Recession Probabilities, Economic Activity and the Cross-Section of Asset Returns by Zhou | 0 | Linear factor models | 2015 |
| Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns by Oversby | 0 | Linear factor models | 2014 |
| Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models by Jin et al. | 0 | Linear factor models | 2014 |
| The Risk Premiums of the Four-Factor Asset Pricing Model in the Hong Kong Stock Market by Lam and Li | 0 | Linear factor models | 2014 |
| A Closer Look at Return Predictability of the US Stock Market: Evidence from a Panel Variance Ratio Test by Kim and Shamsuddin | 0 | 2013 | |
| Equity Anomalies Around the World by Fan | 0 | Linear factor models | 2012 |
| Identifying the Value Premium: A Test of Mutual Fund Performance Measures by Pettengill et al. | 0 | Linear factor models | 2012 |
| Mutual Fund Separation and the Fama, French, Carhart Factors by Saxena | 0 | Linear factor models | 2012 |
| A Multi-Cycle Two-Factor Model of Asset Replacement by Duque and Zambujal‐Oliveira | 0 | Linear factor models | 2009 |
| An Evaluation of the Investment Strategy Based on Book-to-Market Ratio and Other Financial Indicators by Tedeschi et al. | 0 | Linear factor models | 2009 |
| Bankruptcy Risk and the Value Premium in Australia by Hyde | 0 | Linear factor models | 2008 |
| Can a Realistically Constrained Fund Manager Beat the Benchmark Index Using Anomaly-Based Strategies? by McKeon | 0 | Linear factor models | 2007 |
| Information Diffusion Based Explanations of Asset Pricing Anomalies by Sékeris and Bolmatis | 0 | 2007 | |
| Consumption Risk Factors in Cross-Sectional Expected Stock Returns by Yi | 0 | Linear factor models | 2006 |
| A Dynamic Asset Pricing Model with Time-Varying Idiosyncratic Risk by Glabadanidis | 0 | Classical time series +1 | 2004 |
| AlphaX: An AI-Based Value Investing Strategy for the Brazilian Stock Market by de Castro | Neural networks | 2025 | |
| Value Uncertainty by Bali et al. | 2024 | ||
| CAPM Over the Long Run: 1926-2001 by Ang and Chen | Linear factor models | 2005 |
Papers on value investing in equities from other families
19 papers| filed under | ||
|---|---|---|
| Which Stock Screens Actually Work? A Survivorship-free Audit of 16 Fundamental Metrics — ROIC, Value, Momentum, and Quality — on the S&P 500 (2010–2024) by Brina | Momentum and trend following | 2026 |
| Factor Investing Lecture 3: Portfolio Sort Analysis (Presentation Slides) by Shi | Factor investing | 2025 |
| Factors and Anomalies in the Vietnamese Stock Market by Huang et al. | Size premium | 2023 |
| Production of U.S. Rm-Rf, SMB, and HML in the Fama-French Data Library by Fama and French | Size premium | 2023 |
| Timing the Market with a Combination of Moving Averages by Glabadanidis | Quality and profitability factors | 2023 |
| Analysis of Tesla by Qu and Gu | Size premium | 2022 |
| A Value Investment Strategy that Combines Security Selection and Market Timing Signals by Mehta et al. | Market timing and tactical asset allocation | 2019 |
| Size and Value in China by Liu et al. | Event-driven strategies | 2018 |
| The Profitability and Investment Factors in the Chinese Stock Market by Hou and Zhang | Quality and profitability factors | 2017 |
| Empirical Test of Fama French Three Factor Model and Illiquidity Premium in Indonesia by Amanda and Husodo | Liquidity premium | 2014 |
| How Predictable are Returns Out-of-Sample? Evidence from Value and Momentum by Januario | Momentum and trend following | 2014 |
| Portfolio Overlapping Bias in Tests of the Fama and French Three-Factor Model by Wallmeier and Tauscher | Size premium | 2012 |
| Investing in Stock Market Anomalies by Bali et al. | Short-term reversal | 2011 |
| Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market) by Hanauer et al. | Factor investing | 2011 |
| Asset Pricing in European Real Estate Equity Markets by Schulte et al. | Size premium | 2010 |
| Share Issuance and Factor Timing by Greenwood and Hanson | Factor investing | 2010 |
| Do Asset Pricing Anomalies Have a Common Link? An Empirical Analysis of Interactions among Failure Risk Proxies, External Financing, and Stock Returns by Fitzpatrick and Ogden | Event-driven strategies | 2009 |
| Understanding Stock Return Predictability by Guo and Savickas | Hedging strategies | 2006 |
| Multifactor Asset Pricing Analysis of International Value Investment Strategies by Doukas et al. | Factor investing | 1998 |