Time and the payoff to value investing

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Abstract:

Using a simulation study methodology it is found that the rewards to value investing become both larger and more reliable as the investor's holding period lengthens. Value investors appear to be rewarded for time. Evidence is also found of a right skewness in the distributions of returns to value portfolios that becomes more pronounced over longer horizons. This implies that the rewards to value investing are not distributed evenly across stocks and time. Rather it is a minority of shares over particular periods that constitute the majority of the value effect.Journal of Asset Management (2004) 4, 318–325; doi:10.1057/palgrave.jam.2240112

Document Type: Research Article

DOI: http://dx.doi.org/10.1057/palgrave.jam.2240112

Affiliations: 1: 1School of Management Studies, University of Cape Town, Private Bag, Rondebosch, 7700, South Africa., Tel: +27 21 6502 481, Fax: +27 21 6897 570, Email: pvanrens@commerce.uct.ac.za 2: 2Professor of Finance at the University of Cape Town

Publication date: February 1, 2004

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