Suppose you wanted a comprehensive book on all of the ways that there are to get
excess returns from the stock market as a type of value investor (as of year - end 2013), and you wanted it in one slim volume.
Not exact matches
As indeed they should — due to the bear
markets of 2000 and 2008 that wiped out most of the
excesses of the late 1990s,
stock market returns from 1990 to 2011 were actually below the long - run average!
Table 1 shows the
excess returns for a number of valuation metrics within the U.S. Large
Stocks universe, stocks trading in the U.S. with a market capitalization greater than average from 1964 to
Stocks universe,
stocks trading in the U.S. with a market capitalization greater than average from 1964 to
stocks trading in the U.S. with a
market capitalization greater than average
from 1964 to 2015.
They focus on net fund alphas, meaning after - fee
returns in
excess of the risk - free rate, adjusted for exposures to three kinds of risk factors well known at the start of the sample period: (1) traditional equity
market, bond
market and credit factors; (2) dynamic
stock size,
stock value,
stock momentum and currency carry factors; and, (3) a volatility factor specified as monthly
returns from buying one - month, at ‐ the ‐ money S&P 500 Index calls and puts and holding to expiration.
Using monthly industry
returns from Kenneth French's website, monthly
returns for the value - weighted U.S.
stock market in
excess of the one - month U.S. Treasury bill yield, and industry component book - to -
market ratios during July 1963 through December 2009 he finds that: Keep Reading
The first is the
market premium (or equity premium), which is simply the expected
excess return from stocks compared with risk - free investments like T - bills.