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

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  • Gregor Elze

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. Copyright Springer-Verlag 2012

Suggested Citation

  • Gregor Elze, 2012. "Value investor anomaly: return enhancement by portfolio replication—an empiric portfolio strategy analysis," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(4), pages 633-647, December.
    • Handle: RePEc:spr:cejnor:v:20:y:2012:i:4:p:633-647
    DOI: 10.1007/s10100-011-0214-7
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    References listed on IDEAS

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    Cited by:

    1. Kerem Uğurlu & Tomasz Brzeczek, 2023. "Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(4), pages 1043-1060, December.
    2. M. Volkov & М. Волков, 2018. "Анализ фундаментальной индексации как эффективный подход к активному инвестированию // Analysis of Fundamental Indexation as an Efficient Approach to Active Investing," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 6(4), pages 41-51.

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