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Value investor anomaly: return enhancement by portfolio replication—an empiric portfolio strategy analysis

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Abstract

Empirical analyses have consistently confirmed problems with the efficient market hypothesis. In this article light is shed on another market anomaly examining the use of publicly available information from value style investors proven to be using long-term successful value investment strategies. It can be shown that utilizing this information to form portfolios based on different investment strategies results in returns above the market return, violating the efficient market hypothesis. Additionally it can be shown that these strategies can be implemented without capturing higher risks applying traditional risk measures.

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Authors and Affiliations

  1. Department of Statistic and Operations Research, Karl-Franzens University, Graz, Austria

    Gregor Elze

  2. Elisabethstr. 42, 80796, Munich, Germany

    Gregor Elze

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  1. Gregor Elze
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Correspondence to Gregor Elze.

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Elze, G. Value investor anomaly: return enhancement by portfolio replication—an empiric portfolio strategy analysis. Cent Eur J Oper Res 20, 633–647 (2012). https://doi.org/10.1007/s10100-011-0214-7

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  • DOI: https://doi.org/10.1007/s10100-011-0214-7

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