In a previous presentation we showed how it is possible to use a set of financial ratios to create a value portfolio that is capable of outperforming the aggregate market. We labeled that method the O-S heuristic approach to value investing. This paper presents evidence that not only is the O-S...

The choice of T-bill as a risk-free asset is flawed because it is unable to protect the investor against purchasing power risk which is the very risk that investing is all about. We use Canadian data from 1956 to 2013 to show that the T-bill returns barely keeps up with inflation. We also show...

We analyze the relationships between higher moments (i.e., skewness and kurtosis) of common stock portfolio returns in the context of how they reflect the behavioral traits or investment style of market participants. Normally, any participant in the stock market is classified as an investor....

It appears intuitively plausible that actively managed funds by investment professionals should do better than a naïve strategy of buying a market index, which any uninformed person can do at much lower cost than paying a professional manager. However, the evidence points to the contrary:...

Modern Portfolio Theory, the Capital Asset Pricing Model, and the Efficient Market Hypothesis are cornerstone concepts in both academic and professional curricula. In spite of their long history and reputation, the CAPM and its extensions do not yield satisfactory empirical results. We argue...

We hear a lot about value investing, an investing approach introduced by Benjamin Graham in the 1930s and championed by Warren Buffett, but we know very little about why it works so consistently. Academia has considered the consistent performance of value investors as a statistical anomaly, but...

The secret behind Warren Buffett's extraordinary success as an investor has intrigued many people. However, there is not much academic research on it. Frazzini, Kabiller, and Pedersen (2018) carried out a systematic empirical study of the investment performance of Warren Buffett from 1976 to...