Value Investing

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Value Investing in Thailand: Evidence from the Use of PEG

Value Investing in Thailand: Evidence from the Use of PEG

In Thailand, study of value investment strategies is still limited. Hemwachirawarakorn and Intara [18] con- ducted a study on value investing in Thailand during the 2004-2008 by selecting stocks to include in a portfolio based on the P/E, P/B and dividend yield ratios. The re- sult showed that this approach could generate higher re- turns than the market. Supattarakul and Jongjaroenkamol [19] conducted a research on factors affecting the P/E and P/B ratios in the Stock Exchange of Thailand during 1996-2008 by using the approach of residual income model to describe events. It was found that the level of shareholders’ future return (future return on equity or FROE) was related to P/B ratio, and the rate of growth of future net profit (future earnings growth or FEG) was related to P/E ratio; where both FROE and FEG were the variables which represented the rate of future growth of a company, which reflected back to stock price.

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A Study of Value Investing: Profit, Dividend, and Free Cash Flow

A Study of Value Investing: Profit, Dividend, and Free Cash Flow

stock market by observing the P–E ratio, P–B ratio, price–cash-flow (P–CF) ratio, and average-sales growth rate (GS) over 5 years. O'Shaughnessy (1996) analyzed the P–E, P–B, P–S, and P–CF ratios and considered capital stocks to investigate the U.S. stock market. In addition to using similar indicators, Bauman, Conover, and Miller (1998) employed the dividend rate and the expected-earnings growth rate to distinguish growth and value stocks. Chen (2004) examined the interactions among various conditions, months, scales, and monetary environments in the stock market in Taiwan to investigate whether the Taiwanese stock market contained value investing. Yu (2011) examined the stock market in Taiwan by examining the P–E ratio, bargaining counters of a juristic person, returns on equity, dividend yields, gross profit margins, and revenue growth. Domestic and foreign studies have revealed that the return on value investing portfolios was superior to the performance of the Taiwan Capitalization Weighted Stock Index (TAIEX) in the same period. However, value investing may be overly complex for general investors who do not possess a relevant academic background, compared with investing in growth stocks or TAIEX. Therefore, the objective of this study was to determine a simple method for value investing.

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Value Investing: Evidence from the Dutch Stock Market

Value Investing: Evidence from the Dutch Stock Market

When talking about value investing, there are basically two paths one can follow. On one hand there is the qualitative view on value investing, where the management of a firm, the profit margin on their products and the growth potential of the market are important as well in making investment decisions. A true value investor takes into account not only the value of the assets of a company, but also the earnings power and the growth potential (Greenwald, Kahn, Sonkin, & van Biema, 2001). The financial literature often takes the quantitative approach to value investing, reducing the whole concept to a few financial ratios which can easily be calculated for each company, regardless of the market in which they operate and the growth potential of that market.

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Value investing or investing in illiquidity? The profitability of contrarian investment strategies, revisited

Value investing or investing in illiquidity? The profitability of contrarian investment strategies, revisited

If monthly returns for a given stock disappears for a given stock during any month in a given postportfolio formation year (May through April), we assumed that the investor invested in a randomly chosen stock with similar market capitalization for the remain- der of the year (i.e., until the end of April). To determine the expected return value of this random choice, we implemented the following procedure separately for each of the 33 test years, following Lakonishok et al. (1994): For April of each of the 5 years post- portfolio formation, the market value of stocks for which monthly return is available for April of the given year is extracted from CRSP. All stocks for which market value is available for April of the given year then are ranked on the basis of their market value and are placed into 10 groups based on their ranking. For each of the market value groups identified in April of each year, the equally weighted average non-missing monthly return of all stocks within each market value group is estimated for the subse- quent 12-month period. Then, for every stock for which a ranking is available in April of the given year and for which a monthly return is unavailable during any of the subse- quent 12 months, any missing monthly return is specified as the average return for the stock’ s market capitalization group.

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The Influence of Peg and F_Score on Stock Return by Valued Investment Portfolios: Empirical Evidence from Vietnam

The Influence of Peg and F_Score on Stock Return by Valued Investment Portfolios: Empirical Evidence from Vietnam

Graham (1973) focuses on the intrinsic value of stocks represented by assets, earnings, dividends, and financial strengths. Focusing on intrinsic value will prevent an investor from being misled by the misjudgments often made by the market during periods of deep pessimism or euphoria (Scott, 1996). According to Graham et al. (1934), value stocks are those whose market prices are lower than their fair value, determined by fundamentals such as dividends, profit, revenue, and growth. In other words, value stocks are those being undervalued when considering their historical sale growth and future growth prospects (Brown and Bentley, 2002). Thus, a stock which is considered a value stock must meet three factors: (i) is of high quality; (ii) Traded at lower its intrinsic value; and (iii) has good growth potential. Value investing is a method to help investors select stocks that meet all these three.

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Emerging Markets: Evaluating Graham’s Stock Selection Criteria on Portfolio  Return in Saudi Arabia Stock Market

Emerging Markets: Evaluating Graham’s Stock Selection Criteria on Portfolio Return in Saudi Arabia Stock Market

Many empirical studies documenting the superiority of value strategy became apparent following the market declines of 1929 and the late 1960s and even became abundant after the periods of notable global financial crisis. Oppenheimer (1986) clarifies that Graham used the net current asset value (NCAV) over the MV extensively in the operations of the Graham–Newman Corporation, where shares were selected on the basis of the rule that they earned, on average, about 20% per year over a 30-year period to 1956. He tested the returns of the NCAV/MC portfolios with the returns on the NYSE–AMEX value weighted index from 1971 through 1983 and found that NCAV securities had higher mean returns than the market benchmarks. Over the 13-year period, the Graham NCAV/MC portfolios on average outperformed the NYSE–AMEX index by 1.46% per month (about 19% per year) after adjusting for risk. When he compared this with the small-firm index, these portfolios also generated a significantly positive abnormal return of 0.67% per month (8% per year), indicating that the NCAV/MV portfolios are, on average, about as risky as those of small firms. Studies outside the US also indicate similar results: Investing in the NCAV/MC portfolios on average produces positive and significant abnormal returns relative to the market benchmarks (Bildersee et al., 1993; Chan et al., 1991; Xiao and Arnold, 2008). Various recent studies that confirm NCAV/MV produced abnormal returns were also found. Xiao and Arnold (2008) found evidence that buying stocks in companies with a per share NCAV greather than 1.5 times the current price listed on the London stock exchange has produced returns (up to +19.7%) superior to those of the market. They also found that the profitability of the NCAV/MV strategy in the UK could not be explained using the capital asset pricing model or the Fama and French three-factor model, Chang (2012) examines Graham’s shares selection criteria in the Malaysian share market for the period 2000-2009 and found that most of the screening criteria generated higher returns than the market index, in the order of between 4.23% and 81.18% during the period of study. Sareewiwatthana (2011), who conducted a similar study on value investing in Thailand using Graham’s share selection criteria over the period of 5 years from 1996 to 2010, concluded that the value portfolios outperformed the markets by up to +65% over the test period.

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Hedge Fund Investing or Mutual Fund Investing: An Application of Multi Attribute Utility Theory

Hedge Fund Investing or Mutual Fund Investing: An Application of Multi Attribute Utility Theory

This paper has fulfilled its objective of creating complex utility functions. Hi- therto, utility functions have consisted of power utility functions, lognormal dis- tribution, and hypergeometric distributions. We have presented a richer array of functions, including Bessel functions, hyperbolic cosine distributions, and Le- gendre integrals, Laplace distributions, quadratic utility functions, inverse sine distributions, and exponential distributions. Our utility functions distinguish between hedge funds and mutual funds, on the basis of risk aversion. Directional hedge fund traders are risk-takers. They believe in herding to influence prices, earning abnormal returns. Non-directional hedge fund traders are more risk- averse than hedge fund traders, eschewing market destabilization through herd- ing. Mutual fund traders are the most risk-averse, making small volumes of trades, regardless of market conditions. Directional hedge fund traders make the highest gains with market opportunities, with mutual fund traders making the lowest gains. During the technology bubble, directional hedge fund traders sold early, achieving price gains, but no losses. Non-directional hedge fund traders made price gains, though some gains were lost, by not selling early. Mutual fund traders experienced the most losses, as they ignored market signals, owning se- curities that were rapidly losing value.

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Supplier quality improvement: the value of information under uncertainty

Supplier quality improvement: the value of information under uncertainty

Krause, Handfield, and Scannell (1998) , Che and Hausch (1999) , and Krause, Handfield, and Tyler (2007) provide detailed accounts of supplier development approaches in practice. In particular, Krause, Handfield, and Scannell (1998) present a general represen- tation of a supplier development process grounded in an extensive industry survey. From our contemporary company engagement, the identified process still typifies many aspects of current practice. For example, critical commodities and suppliers are identified, key per- formance areas are targeted, appropriate teams are formed, and ac- tivities are selected, implemented and reviewed. Interestingly, one step in the general process notes that “opportunities and probability for improvement” through supplier development should be identi- fied. However, no further consideration is given as to how such probabilities should be expressed, although criteria such as the po- tential to influence the supplier development process, resources re- quired in terms of people and time, as well as the potential re- turn on investment are discussed. Krause, Handfield, and Scannell (1998) pose the question “what criteria should be used to identify suppliers that have high probability of development success?”. Our model helps to answer this question by estimating the value of gaining more information about supplier quality and providing a probabilistic assessment of the risks of such investments, given the degree of epistemic uncertainty, as well as the buyer’s assessment of the potential to develop the supplier.

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Supplier quality improvement: the value of information under uncertainty

Supplier quality improvement : the value of information under uncertainty

Krause, Handfield, and Scannell (1998) , Che and Hausch (1999) , and Krause, Handfield, and Tyler (2007) provide detailed accounts of supplier development approaches in practice. In particular, Krause, Handfield, and Scannell (1998) present a general represen- tation of a supplier development process grounded in an extensive industry survey. From our contemporary company engagement, the identified process still typifies many aspects of current practice. For example, critical commodities and suppliers are identified, key per- formance areas are targeted, appropriate teams are formed, and ac- tivities are selected, implemented and reviewed. Interestingly, one step in the general process notes that “opportunities and probability for improvement” through supplier development should be identi- fied. However, no further consideration is given as to how such probabilities should be expressed, although criteria such as the po- tential to influence the supplier development process, resources re- quired in terms of people and time, as well as the potential re- turn on investment are discussed. Krause, Handfield, and Scannell (1998) pose the question “what criteria should be used to identify suppliers that have high probability of development success?”. Our model helps to answer this question by estimating the value of gaining more information about supplier quality and providing a probabilistic assessment of the risks of such investments, given the degree of epistemic uncertainty, as well as the buyer’s assessment of the potential to develop the supplier.

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Essays on Islamic equity investing

Essays on Islamic equity investing

There are several approaches to screen firms for financial leverage. First, debt is being defined as either interest-bearing debt or total debt. The former appear somewhat more precise from a Shari’ah perspective, as it accounts only for debt associated with interest payments. In contrast, institutions using total debt assumes that all debt comes with the payment of interest. Second, in determining the value of a company, institutions employ either market capitalization or total assets. While market capitalization suggests that the market best determines the value, proponents of using total assets would argue that it is “a trusted accounting perspective and each measurement is independent from any external market influences or speculations” (Derigs & Marzban, 2008, p. 291). In what appears to be an attempt to smooth out possibly volatile outcomes of using market capitalization, some institutions use the 24 or 36 months trailing moving average, respectively. Third, there is a clear disagreement concerning the acceptance level of debt, with threshold levels varying from 25% to 37%. According to Table 2.1, the abovementioned differences result in 15 approaches to screening for debt currently used in the industry.

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Determinants of health-related behaviours of judo athletes

Determinants of health-related behaviours of judo athletes

from 1 to 5, taking into account their frequency. After adding the values of all statements, the gen- eral index of intensity of health behaviours was obtained. This ranged from 24 to 120 points. The higher the value of the index, the greater the intensity of health-related behaviour forms. Other indexes in the following four categories were also calculated according to the proce- dure of the test applied: proper nutrition habits, preventive behaviour, psychological attitudes and health practices. According to the recommenda- tions of the author of the text, the general index of health-related behaviour forms was converted into sten scores and the results obtained were interpreted in the following way: 1-4 as low, 5-6 as average, 7-10 as high. The internal consis- tency of the HBI was determined on the basis of Cronbach’s alpha 0.92 (the author of the research tool determined the reliability of this tool at 0.85). For the purposes of the assessment of sources of knowledge about health and healthy lifestyle, the original questionnaire used was one in which respondents were asked to assign a specific point value to specific sources on the Likert scale from 1 to 5. Sources of knowledge given in the ques- tionnaire included: a) coach, b) coaching staff (physiotherapist, psychologist etc.), c) family envi- ronment, d) healthcare professionals (physicians,

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Stock investing for Dummies.pdf

Stock investing for Dummies.pdf

I become a Johnny-one-note on one topic: trail- ing stops. (See Chapter 17 for a full explanation of trailing stops.) Trailing stops are stop losses that you regularly manage with the stock you invest in. I always advocate using them, espe- cially if you’re new to the game of buying growth stocks. Trailing stops can help you, no matter how good or bad the economy is (or how good or bad the stock you’re investing in is). Suppose that you had invested in Enron, a clas- sic example of a phenomenal growth stock that went bad. In 1999 and 2000, when its stock soared, investors were as happy as choco- holics at Hershey. Along with many investors who forgot that sound investing takes disci- pline and research, Enron investors thought, “Downside risk? What downside risk?” Here’s an example of how a stop-loss order would have worked if you had invested in Enron. Suppose that you bought Enron in 2000 at $50 per share and put in a stop-loss order with your broker at $45. (Remember to make it a GTC or good-till-canceled order. If you do, the stop-loss order stays on indefinitely.) As a general rule, I like to place the stop-loss order at 10 percent below the market value. As the stock went up, you kept the stop-loss trailing upward like a tail. (Now you know why it’s called a “trailing” stop;

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Essays in factor based investing

Essays in factor based investing

It has been documented that these anomalies are indeed exploited by sophisti- cated investors. Hanson and Sunderam (2013) use the short interest to show that the amount of capital devoted to value and momentum, the two most prominent strategies, has grown significantly since the late 1980s; McLean and Pontiff (2016) find that anomaly returns are lower after publication. Because of the sophisticated nature of these large and professional agents, some researchers argue that they are aware of the (endogenous) systemic risk and will internalize the impact of their be- havior. Koijen and Yogo (2015) find that most cross-sectional variation in stock returns is contributed to retail investors instead of large asset managers. Mean- while, there are also concerns about their roles and impacts, as Stein (2009) points out that crowding and leverage can impair market efficiency and argue that capital regulation may be helpful in dealing with the latter problem. Both theoretical work and empirical evidence show this destabilizing effect of arbitrageurs, see Vayanos and Woolley (2013) and Lou and Polk (2013).

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Business angel investing

Business angel investing

‘smart money’ and for this reason business angels are valued ahead of other funding sources (Cressy and Olofsson, 1997; Lindström and Olofsson, 2001; Sætre, 2003). Business angels typically invest in industries and markets with which they are familiar. As a consequence, the entrepreneurs who are funded by business angels derive consider value from the expertise, knowledge and experience that their investors pass on through this hands-on involvement. This, in turn, increases the prospects for the success of their businesses. Indeed, entrepreneurs often report that the hands-on involvement of business angels is more valuable than the capital that they have received. However, hard evidence on the impact of this involvement on business performance remains elusive.

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The relationship of macro factors and different investment asstes class during financial crisis

The relationship of macro factors and different investment asstes class during financial crisis

The benefits are accordingly, providing lack of correlation with other types ofinvestments may help increase or stabilize portfolio return. Part of sound portfolio management is diversifying investments so that if one type of investment is performing poorly, another may be doing well. In recent years, both institutional and individual investors have increasingly begun to explore alternative assets as a way of trying to increase returns and diversify risk. In a global economy, traditional asset classes such as stock and bonds are increasingly linked. However, in many cases, an alternative asset's performance is often highly dependent on the qualities of the individual investment, as opposed to being highly correlated to an overall market. Many alternative investments attempt to achieve their returns not from the activity of the market but by using unique investing strategies to exploit market inefficiencies where the markets have not perceived. While alternative assets classes offer potential for returns that are not highly correlated with other markets, their unique properties also mean that they can involve a high degree of risk. As a result, an alternative asset can provide an additional layer of diversification and complement to the more traditional asset classes. However, diversification alone cannot guarantee a profit or ensure against a loss.

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Investing on the CAPM Pricing Error

Investing on the CAPM Pricing Error

Although all of the alpha portfolios have higher Sharpe ratios than the market portfolio, only the top four were significantly higher, all four at the 10% signifi- cance level. Note also that there was little difference in performance between the equal-weighted and value-weighted portfolios. As one can see the performance was essentially the same regardless of weight used.

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An Examination of the Optimal Timing Strategy for a Slow Trader Investing in a High Frequency Trading Technology

An Examination of the Optimal Timing Strategy for a Slow Trader Investing in a High Frequency Trading Technology

asserts that investment in the high frequency technology should take place earlier than the real options threshold suggests. This is one of the most widely known and cited results in real options analysis and is typically driven by the fact that the standard net present value theory of investment does not account for uncertainty over future payoffs nor the fact that the investments are, at least partially, irreversible (see, for example Dixit and Pindyck [3]). It also assumes that investing is a now-or-never decision with no value of waiting. The driving force in this model is the same as in standard models because, since F (X N P V ) = 0, where F (x) is given by (3), it is easily verified that

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Investing in Growth: Understanding the Value of Green Infrastructure

Investing in Growth: Understanding the Value of Green Infrastructure

This workshop is part of the project Assessing the Economic Value of Green Infrastructure. Yvonne Lynch, Renee Walton, Emily Boucher, Ian Shears, John Milkins, David Callow, Adrian Murphy, Michelle Gooding and Ben Johnston have been integral to the development of this project along with the support of many teams at City of Banyule, City of Kingston, City of Melbourne, City of Moonee Valley and the Victorian Department of Environment, Land Water and Planning. This project is supported by funding from the Government of Victoria.

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Cooperation programs regarding the development of turnover in rural area

Cooperation programs regarding the development of turnover in rural area

In conclusion, from the analysis of the allocation of European funds in the period 2007 - 2013, it appears that the investments in tourist activity have increased and the rural space continues to turn positive. The main motivation for increasing the financial value of rural tourism can be synthesized by the fact that agricultural income has increased, the difficulty of selling agricultural products provided by peasant farms is on the verge of disappearing, the prices of products have increased and the surplus of agricultural products is no longer a problem.

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Investing in Growth: Understanding the Value of Green Infrastructure Workshop Report

Investing in Growth: Understanding the Value of Green Infrastructure Workshop Report

3 Although green infrastructure assets provide social, environmental and economic benefits, these benefits are still not fully understood. As a result, the opportunities they offer are not fully realised. Barriers to achieving this understanding were articulated in all the workshops. Key barriers were a lack of long-term integrated planning, policy and inconsistent investment. The lack of robust business cases needed to counter the perception of green infrastructure being of less value than other forms of infrastructure was also seen as a major barrier. Key needs identified were the development of appropriate valuation tools and operational

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