| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12685 |
| DP12685 Deep Value | |
| Lasse Heje Pedersen | |
| 发表日期 | 2018-02-05 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We define “deep value” as episodes where the valuation spread between cheap and expensive securities is wide relative to its history. Examining deep value across global individual equities, equity index futures, currencies, and global bonds provides new evidence on competing theories for the value premium. Following these episodes, the value strategy has (1) high average returns; (2) low market betas, but high betas to a global value factor; (3) deteriorating fundamentals; (4) negative news sentiment; (5) selling pressure; (6) increased limits to arbitrage; and (7) increased arbitrage activity. Lastly, we find that deep value episodes tend to cluster and a deep value trading strategy generates excess returns not explained by traditional risk factors. |
| 主题 | Financial Economics |
| 关键词 | Value investing Market efficiency Bubbles Behavioral finance Over-reaction Demand pressure Arbitrage Noise |
| URL | https://cepr.org/publications/dp12685 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541497 |
| 推荐引用方式 GB/T 7714 | Lasse Heje Pedersen. DP12685 Deep Value. 2018. |
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