Value stocks and market efficiency

2000 ◽  
Vol 24 (1) ◽  
pp. 28-35 ◽  
Author(s):  
Roger J. Best ◽  
Ronald W. Best ◽  
James A. Yoder
Keyword(s):  
Market Efficiency ◽  
Value Stocks

scholarly journals Good News for Value Stocks: Further Evidence on Market Efficiency

10.3386/w5311 ◽  
1995 ◽  
Author(s):  
Rafael La Porta ◽  
Josef Lakonishok ◽  
Andrei Shleifer ◽  
Robert Vishny
Keyword(s):  
Market Efficiency ◽  
Good News ◽  
Value Stocks

scholarly journals Good News for Value Stocks: Further Evidence on Market Efficiency

1997 ◽  
Vol 52 (2) ◽  
pp. 859-874 ◽  
Author(s):  
RAFAEL LA PORTA ◽  
JOSEF LAKONISHOK ◽  
ANDREI SHLEIFER ◽  
ROBERT VISHNY
Keyword(s):  
Market Efficiency ◽  
Good News ◽  
Value Stocks

THE RELATIVE EFFICIENCY OF MARITIME FIRMS: EVIDENCE FROM CONTAINER LINES

2011 ◽  
Vol 56 (04) ◽  
pp. 503-522 ◽  
Author(s):  
PHOTIS M. PANAYIDES ◽  
NEOPHYTOS LAMBERTIDES
Keyword(s):  
Market Efficiency ◽  
Operating Performance ◽  
Efficient Frontier ◽  
Market Value ◽  
Liner Shipping ◽  
Financial Accounting ◽  
Operational Performance ◽  
Data Envelopment ◽  
Value Stocks ◽  
High Degree

It has been stated that the meaning of higher efficiency is equivalent to being more competitive and profitable for enterprise operations. Using insights from fundamental analysis, the purpose of this study is to investigate the relative operational performance and market efficiency of liner shipping firms. The paper applies Data Envelopment Analysis (DEA) to calculate an efficient frontier that corresponds to the optimal relationship between financial data and market value. Stocks at the frontier are optimally priced in the market. Stocks falling behind the frontier are valued less favorably. The models developed incorporate inputs and outputs related to operating performance and market efficiency consistent with the prior financial accounting literature. Our sample consists of 18 major (leading) international liner shipping firms that have been found to exhibit average market efficiency and a high degree of operational performance.

Rational Cross-Sectional Differences in Market Efficiency: Evidence from Mutual Fund Returns

2010 ◽  
Vol 45 (4) ◽  
pp. 847-881 ◽  
Author(s):  
Paul Schultz
Keyword(s):  
Market Efficiency ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Security Analysis ◽  
Abnormal Returns ◽  
Cross Sectional ◽  
Value Stocks ◽  
Growth Stocks ◽  
Small Growth

AbstractMarkets should be inefficient enough to allow returns to security analysis to adequately compensate the marginal analyst for his efforts. Cross-sectional differences in the costs of analysis therefore imply cross-sectional differences in market efficiency and in before-cost returns to smart investors. Small growth stocks are difficult to analyze and costly to trade. I find that the abnormal returns of mutual fund investments in small growth stocks from 1980 to 2006 averaged 0.76% per month. Large value stocks are easier to analyze and cheaper to trade. Mutual funds earned average monthly abnormal returns of only 0.05% in large value stocks during the same period.

Market Efficiency in an Irrational World

CFA Digest ◽  
2000 ◽  
Vol 30 (3) ◽  
pp. 58-59
Author(s):  
Roger Ignatius
Keyword(s):  
Market Efficiency
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