Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Clairvoyant Value and the Value Effect

Robert D Arnott, Feifei Li and Katrina F Sherrerd
The Journal of Portfolio Management Spring 2009, 35 (3) 12-26; DOI: https://doi.org/10.3905/JPM.2009.35.3.012
Robert D Arnott
is the chairman and founder of Research Affiliates, LLC, in Newport Beach, CA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: arnott@rallc.com
Feifei Li
is the director of research at Research Affiliates, LLC, in Newport Beach, CA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: li@rallc.com
Katrina F Sherrerd
is the chief operating officer at Research Affiliates, LLC, in Newport Beach, CA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: sherrerd@rallc.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
EMEA: +44 0207 139 1600

Abstract

The authors compare the price of a stock at a given point in time with its ex post realized value, which is defined by the discounted net present value of subsequent actual cash distributions. This measure is called the Clairvoyant Value, that is, the value that a clairvoyant investor with perfect foresight would have placed on the company. Using a stock's Clairvoyant Value, the authors tease out surprising results relating to the extent to which the market has correctly anticipated various future growth rates and to which investors have paid up for future growth expectations. These findings provide additional historical evidence on market efficiency and the value effect in the U.S. stock market. The authors conclude that—although growth stocks (i.e., those trading at high multiples) do historically exhibit superior future growth—the market overpays for superior growth expectations with statistical significance.

TOPICS: In markets, exchanges/markets/clearinghouses, factor-based models

  • © 2009 Institutional Investor, Inc.
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management
Vol. 35, Issue 3
Spring 2009
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Clairvoyant Value and the Value Effect
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Clairvoyant Value and the Value Effect
Robert D Arnott, Feifei Li, Katrina F Sherrerd
The Journal of Portfolio Management Apr 2009, 35 (3) 12-26; DOI: 10.3905/JPM.2009.35.3.012

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Clairvoyant Value and the Value Effect
Robert D Arnott, Feifei Li, Katrina F Sherrerd
The Journal of Portfolio Management Apr 2009, 35 (3) 12-26; DOI: 10.3905/JPM.2009.35.3.012
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • WILL THE REAL “VALUE” PLEASE STAND UP?
    • MEASURING THE VALUE OF A COMPANY
    • CALCULATING CLAIRVOYANT VALUE
    • EXAMINING THE “DAYS OF FUTURE PAST”
    • IS PRICE AN UNBIASED PREDICTOR OF FUTURE FAIR VALUE?
    • RESULTS FROM A SNAPSHOT IN TIME
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Value versus Glamour Stocks: The Return of Irrational Exuberance?
  • Factor-Based Investing: The Long-Term Evidence
  • Rip Van Winkle Indexing
  • The Power of Dynamic Asset Allocation
  • Clairvoyant Discount Rates
  • Rebalancing and the Value Effect
  • The Description of Portfolios
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies