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Value investing
价值投资
•Low price-earning ratio shares
低价格收率比率股份
–The evidence generally indicates that these shares generate abnormal returns Basu (1975, 1977, 1983), Keim (1988), Lakonishok et al. 1994)
一般的证据表明，这些股份产生异常报酬Basu (1975, 1977, 1983), Keim (1988), Lakonishok et al. 1994)
–Levis (1989), Gregory et al. (2001, 2003)
–Dispute whether it is the small-size effect that is really being observed Reinganum (1981), and Banz and Breen (1986)
无论是小尺寸效应，真的是被观察的争议
–Levis (1989), and Gregory et al. (2001), concluded that low PERs were a source of excess returns
Levis (1989), and Gregory et al. (2001)，得出结论，低市盈率是超额收益来源
•Investors place too much emphasis on short-term earnings data
投资者过分注重短期盈利数据
•The tendency for extreme profit and growth trends to moderate ‘to revert to the mean’
极端的利润和增长趋势的趋势，中度'恢复到平均“
(Little (1962), Fuller et al. (1993), Dremen (1998))
•Lakonishok et al. (1994) found that low PER shares are actually less risky than the average
Lakonishok et al. (1994)发现，低市盈率股其实是风险低于平均
http://www.ukassignment.org/lxszy/
Value investing
价值投资
•Shares that sell at prices which are a low multiple of the net assets per share seem to produce abnormal returns
这是一个低倍数的每股净资产的价格出售的股份似乎产生异常回报
•Many studies have concluded that shares offering a higher dividend yield tend to outperform the market
许多研究得出结论，提供较高的股息收益率的股票往往跑赢市场
•High sales-to-price ratio firms perform better than low sales-to-price firms
高的销售价格比公司的表现优于低销售价格公司
•Cash flow to price ratio (Lakonishok et al. (1994)
现金流价格比率
•Costs of issue/arrangement
问题/安排的成本
•Bubbles
泡沫
Stock market efficiency: alternative views
股票市场效率：选择性观点
•Views of professional investors
专业投资者的意见
•Whether stock markets appear to absorb all relevant (public or private) information (strong-form efficiency)
股市是否出现吸收所有相关信息（公共或私人）（强式效率）
•The behavioural-based arguments leading to a belief in inefficiencies
基于行为的论据，导致效率低下的一个信念
•The implications of the evidence for efficiency for investors and corporate management
投资者和企业管理的影响效率的证据
Comment on the semi-strong efficiency evidence
对半强式效率证据的评论
•Despite the evidence of some work showing departures from semi-strong efficiency, for most investors most of the time the market may be regarded as efficient
尽管一些工作的证据显示偏离半强式效率，对于大多数投资者的大部分时间，市场可能被视为有效
•The evidence for semi-strong efficiency is significant but not so overwhelming that there is no hope of outperformance for the able and dedicated
半强式效率的证据是显着的，但并不十分热烈，表现突出是没有希望能够和专用
•Publication bias
发表偏倚
•Hundreds of researchers examining the data
数百名研究人员检查数据
•A lot of evidence of inefficiency that remains hidden
有很多仍然隐藏的低效证据，
•Paradox: in order for the market to remain efficient there has to be a large body of investors who believe it to be inefficient
悖论：为了市场投资者谁相信它是低效的，必须有一个大的身体保持效率
The views of some successful investors
一些成功投资者的意见
•Peter Lynch
–Quantitative analysis taught me that the things I saw happening at Fidelity couldn’t really be happening. I also found it difficult to integrate the efficient market hypothesis… It also was obvious that the Wharton professors who believed in quantum analysis and random walk weren’t doing nearly as well as my new colleagues at Fidelity
定量分析告诉我，不能看到发生的事情，我在富达真的是这样。我也发现很难整合有效市场假说......它也是显而易见的，沃顿商学院的教授，谁相信量子分析和随机漫步，和我在富达的新同事一样。
•John Neff
–Always on the lookout for out-of-favour, overlooked or misunderstood stocks
一直在寻找的青睐，忽视或误解的股票
–He believes that the market tends to allow itself to be swept along with fads, fashions and flavours of the month. This leads to overvaluation of those stocks regarded as shooting stars, and to the undervaluation of those which prevailing wisdom deems unexciting, but which are fundamentally good stocks
他认为，市场往往会允许自己被横扫随着潮流，时尚和口味的一个月。这导致的高估这些股票视为流星，普遍看法认为平平无奇的低估，但根本是好股票
•Benjamin Graham
–The prices of common stock are not carefully thought out computations,but the resultants of a welter of human reactions. The stock market is a voting machine rather than a weighing machine’
–The processes by which the securities market arrives at its appraisals are frequently illogical and erroneous. These processes . . . are not automatic or mechanical, but psychological for they go on in the minds of people who buy and sell. The mistakes of the market are thus the mistakes of groups of masses of individuals. Most of them can be traced to one or more of three basic causes: exaggeration, oversimplification, or neglect
•Warren Buffett and Charles Munger
I’m convinced that there is much inefficiency in the market . . . When the price of a stock can be influenced by a ‘herd’ on Wall Street with prices set at the margin by the most emotional person, or the greediest person, or the most depressed person, it is hard to argue that the market always prices rationally. In fact, market prices are frequently nonsensical . . . There seems to be some perverse human characteristic that likes to make easy things difficult. The academic world, if anything, has actually backed away from the teaching of value investing over the last 30 years. It’s likely to continue that way. Ships will sail around the world but the Flat Earth Society will flourish
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