Sentences with phrase «decile portfolios»

-LSB-...] plenty of attention from researchers in academia and industry, starting with Roger Ibbotson's Decile Portfolios of the New York Stock Exchange, 1967 — 1984 (1986) and Werner F.M. DeBondt and Richard H. Thaler's Further Evidence on Investor -LSB-...]

In «Decile Portfolios of the New York Stock Exchange, 1967 — 1984,» Working Paper, Yale School of Management, 1986, Ibbotson studied the relationship between stock price as a proportion of book value and investment returns.

-LSB-...] because that was what all the early research seemed to say (See, for example, Roger Ibbotson's «Decile Portfolios of the New York Stock Exchange, 1967 — 1984,» Werner F.M. DeBondt and Richard H. Thaler's «Further Evidence on Investor Overreaction and -LSB-...]

-LSB-...] value stocks in deciles (an approach possibly suggested by Roger Ibbotson's study Decile Portfolios of the New York Stock Exchange, 1967 — 1984).

-LSB-...] that was what all the early research seemed to say (See, for example, Roger Ibbotson's «Decile Portfolios of the New York Stock Exchange, 1967 — 1984,» Werner F.M. DeBondt and Richard H. Thaler's «Further Evidence on Investor Overreaction -LSB-...]

We analyze the compound annual growth rates of each price ratio over the 1964 to 2011 period for market capitalization — weighted decile portfolios.

The Ibbotson, LSV and Brandes Institute studies created decile portfolios and Thaler and DeBont created quintile portfolios.

The yellow dotted line shows the average returns to the ten decile portfolios of stocks ranked by price - to - book value from 1968 to 2012.

Book value has received plenty of attention from researchers in academia and industry, starting with Roger Ibbotson's Decile Portfolios of the New York Stock Exchange, 1967 — 1984 (1986) and Werner F.M. DeBondt and Richard H. Thaler's Further Evidence on Investor Overreaction and Stock Market Seasonality (1987).

They each year in January sort hedge funds into tenths (deciles) based on fund manager fWHR and then measure the performance of these decile portfolios over the following year.

In this instance, Professor Oppenheimer's study speaks to the return on the Near Graham Net Net Portfolio, as Roger Ibbotson's Decile Portfolios of the New York Stock Exchange, 1967 — 1984 (1986), Werner F.M. DeBondt and Richard H. Thaler's Further Evidence on Investor Overreaction and Stock Market Seasonality (1987), Josef Lakonishok, Andrei Shleifer, and Robert Vishny's Contrarian Investment, Extrapolation and Risk (1994) as updated by The Brandes Institute's Value vs Glamour: A Global Phenomenon (2008) speak to the return on the Ultra-low Price - to - book Portfolio.

As the various studies we have discussed recently demonstrate — Roger Ibbotson's Decile Portfolios of the New York Stock Exchange, 1967 — 1984 (1986), Werner F.M. DeBondt and Richard H. Thaler's Further Evidence on Investor Overreaction and Stock Market Seasonality (1987), Josef Lakonishok, Andrei Shleifer, and Robert Vishny Contrarian Investment, Extrapolation and Risk (1994) and The Brandes Institute's Value vs Glamour: A Global Phenomenon (2008)-- low price - to - book value stocks outperform higher priced stocks and the market in general.

As we discussed yesterday in Testing the performance of price - to - book value, various studies, including Roger Ibbotson's Decile Portfolios of the New York Stock Exchange, 1967 — 1984 (1986), Werner F.M. DeBondt and Richard H. Thaler's Further Evidence on Investor Overreaction and Stock Market Seasonality (1987), Josef Lakonishok, Andrei Shleifer, and Robert Vishny Contrarian Investment, Extrapolation and Risk (1994) and The Brandes Institute's Value vs Glamour: A Global Phenomenon (2008) all conclude that lower price - to - book value stocks tend to outperform higher price - to - book value stocks, and at lower risk.

They are perhaps best known for the Contrarian Investment, Extrapolation, and Risk paper, which, among other things, analyzed low price - to - book value stocks in deciles (an approach possibly suggested by Roger Ibbotson's study Decile Portfolios of the New York Stock Exchange, 1967 — 1984).

It is usual that less than half the stocks making up the cheap - decile portfolio have returns that beat the market.

The Glamour portfolio is the decile portfolio containing stocks ranked lowest on B / M, C / P, or E / P, or highest of GS and vice versa for the Value portfolio):

Not exact matches

«The portfolio's 1.1 % third - quarter loss has been comparatively abysmal and has dragged its year - to - date return to the group's bottom decile — but it's not catastrophic.

For individual stocks, they each month sort stocks into tenths (deciles) on book - to - market ratio and form a portfolio that is long (short) the value - weighted decile with the highest (lowest) ratios.

In other words, they pick stocks for portfolios 3 and 4 by first sorting into deciles based on prior - month return and then sorting each of these deciles into nested deciles sorted based on share turnover.

Within each of these deciles, which contain stocks of similar quality, the 15 with the highest value signals are assigned to the high portfolio, while the 15 with the lowest value signals are assigned to the low portfolio.

James Dondero, NexPoint President and Portfolio Manager to the Fund, stated, «We are pleased with the material over subscription and investor support consistent with top decile performance we... Read More... Read More

He estimates each anomaly premium as returns to a portfolio that is each month long (short) the value - weighted tenth, or decile, of stocks with the highest (lowest) expected returns for that anomaly.

He reports that a portfolio containing stocks with the lowest 10 per cent of multiples (the value decile), rebalanced each year, returned an average of 12.50 per cent annually from 1951 to 2013.

One such monthly time series represents the returns of ten portfolios formed by sorting the universe by each stock's ratio of book equity to market value and splitting them evenly into deciles.

The stocks are independently sorted into ascending order in 3 groups (rather than deciles, for the obvious reason — 9 annual portfolios is easier to track than 100): 1.

Each decile is treated as a portfolio and held for 5 years.

Within each of these deciles, which contain stocks of similar quality, the 15 with the highest value signals are assigned to the high portfolio, while the 15 with the lowest value signals are assigned to the low portfolio.

The differential between the returns to the stocks in decile 10 (the «value» portfolio) and decile 1 (the «glamour» portfolio) is the value premium.

All portfolios are equally weighted (the 100 stocks in the value decile hold 1 percent of the theoretical portfolio capital at inception and the ~ 1,000 stocks in the Russell 1000 portfolio hold 0.1 percent of portfolio capital at inception).

Below we re-run the tests, but this time instead of kicking all of the portfolio into cash, we put only 75 of the portfolio in cash, and maintain 25 percent exposure to the value decile.

All portfolios are equally weighted (for example, the 300 stocks in the Russell 3000 value decile hold 0.333 percent of the theoretical portfolio capital at inception and the ~ 3,000 stocks in the Russell 3000 portfolio hold 0.0333 percent of portfolio capital at inception).

Definitions... $ ValueYield = Current EBIT / EV of value decile $ CashYield = Current yield of treasuries $ DeltaYield = $ ValueYield — $ CashYield $ PortfolioAllocation = Percentage of the portfolio invested in equal weight value decile, with the balance in cash

Portfolios were constructed by investing equal amounts of capital in the top decile of companies represented by Earnings Yield and then rebalancing monthly to equally weight the evolving constituents of the top decile.

Portfolios were constructed by investing equal amounts of capital in the top decile of companies represented by each value factor and then rebalancing monthly to equally weight the evolving constituents of the top decile.

«Decile 10» is formed from the portfolio of stocks with the highest BM ratio (lowest P / B), «Decile 1» is the portfolio of stocks with the lowest BM ratio (highest P / B) and so on.