106 papers on value investing as a systematic trading strategy. Buying cheap on fundamentals such as book-to-market and selling expensive; value premia and value-versus-growth.
Also searched as: value premium, value factor, book-to-market, value versus growth, cheap stocks
Papers 106 1996–2026
Share of the family 100 % 106 of 106
Asset
All 106 Equities 89 Volatility and options 2 Crypto 1 Currencies 1 Asset not named 13 Method
All 106 Linear factor models 67 Classical time series 6 Bayesian 2 State-space models 2 Neural networks 1 Tree ensembles 1 Method not named 36 Papers by year Value investing
■ equities■ volatility and options■ crypto■ currencies■ other assets2000 4 4 2005 8 10 2010 6 6 2015 5 3 2020 5 4 4 4 2026 ■ equities■ volatility and options■ crypto■ currencies■ other assets2000 4 4 2005 8 10 2010 6 6 2015 5 3 2020 5 4 4 4 2026 Related families papers shared with this family
Most cited in each asset cited by asset Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varying by Lettau and Ludvigson Equities 465 Equities 2000 Asset Pricing When Returns are Nonnormal: Fama-French Factors vs. Higher-Order Systematic Co-Moments by Chung et al. Asset not named 91 Asset not named 2001 " Crypto Value, Factor Pricing, and Market Segmentation " by Cong et al. Crypto 44 Crypto 2021 Out-of-Sample Evidence on the Returns to Currency Trading by Accominotti and Chambers Currencies 12 Currencies 2013
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Assets with their own page 89 papers
Value investing in volatility and options 2 papers cited by method Size, value and volatility by Peterburgsky 0 Classical time series 2021 Option-Implied Volatility-Managed Asset Pricing Risk Factors and Resurrection of the Value Factor by Grobys 0 Linear factor models 2019
Value investing in crypto 1 paper cited by method " Crypto Value, Factor Pricing, and Market Segmentation " by Cong et al. 44 Linear factor models 2021
Value investing in currencies 1 paper cited by method Out-of-Sample Evidence on the Returns to Currency Trading by Accominotti and Chambers 12 2013
Value investing, no asset class named 13 papers 4 more An Investment-Growth Asset Pricing Model by Li et al. 22 Linear factor models 2001 Asset Pricing When Returns are Nonnormal: Fama-French Factors vs. Higher-Order Systematic Co-Moments by Chung et al. 91 Linear factor models 2001 Investing in Size and Book-to-Market Portfolios Using Information About the Macroeconomy: Some New Trading Rules by Cooper et al. 41 2001 Contrarian Investment Strategies in a European Context by Brouwer et al. 21 1996
Papers on value investing from other families 2 papers