This paper provides a framework for defining, formulating and evaluating value investment strategies. We define the relative value of an investment in terms of the prospective yield implied by the investment's current price and expected future cash flows. We develop an intuitive and parsimonious...

The term ‘value investing' is increasingly being adopted by quantitative investment strategies that use ratios of common fundamental metrics (e.g., book value, earnings) to market price. A hallmark of such strategies is that they do not involve a comprehensive effort to determine the intrinsic...

Previous research finds that EPS growth is difficult to predict and reasons that much of the observed variation in valuation multiples is due to mispricing (e.g., Lakonishok, Shleifer, and Vishny, 1994; Chan, Karceski, and Lakonishok, 2003; Israel, Laursen, and Richardson, 2021). We revisit these...

This paper provides a framework for defining, formulating and evaluating value investment strategies. We define the relative value of an investment in terms of the prospective yield implied by the investment's current price and expected future cash flows. We develop an intuitive and parsimonious...