Are Value Stocks Still Valuable: A Study of Value Strategy using Stock Data from 1999 to 2020

DOI

10.2991/aebmr.k.220307.265How to use a DOI?

Keywords

value strategy; value stock; glamor stock; book-to-market ratio; cash-to-price ratio

Abstract

This study uses two essential factors, book-to-market (B/M) ratio, and cash flow to price (C/P) ratio, to generate decile portfolios. Additionally, decile portfolios sorted by two factors from high to low are formed for five years with annual returns. By comparing the five-year average returns of each decile portfolio, it is determined that the value strategy is still effective in the market.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Sichen Zhu
PY  - 2022
DA  - 2022/03/26
TI  - Are Value Stocks Still Valuable: A Study of Value Strategy using Stock Data from 1999 to 2020
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 1625
EP  - 1629
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.265
DO  - 10.2991/aebmr.k.220307.265
ID  - Zhu2022
ER  -