RT Journal Article
SR Electronic
T1 The Importance of Being Value
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 74
OP 79
DO 10.3905/jpm.2006.628408
VO 32
IS 3
A1 François Bourguignon
A1 Marielle de Jong
YR 2006
UL https://pm-research.com/content/32/3/74.abstract
AB Value stocks are considered an equity class with distinctive price performance. They are believed to outperform the market, with a particular price volatility. How to explain this market phenomenon? New light can be shed on the debate by reconsidering the definition commonly used to recognize value stocks. When the definition is decomposed along a time axis into a structural component and a transitory component, both components help to explain price volatilities across stocks, but only one of them—the transitory component—gives rise to systematic outperformance.TOPICS: Style investing, equity portfolio management, portfolio construction