TY - GEN

T1 - Returns to selecting value stocks in Australia - The Aby filters

AU - Vanstone, Bruce J

AU - Hahn, Tobias

AU - Finnie, Gavin

N1 - Australasian Finance and Banking Conference, AFBC ; Conference date: 16-12-2009 Through 18-12-2009

PY - 2009

Y1 - 2009

N2 - The development of the Financial Crisis throughout 2008 and into 2009 has caused many fund managers to question their Growth based investment models. Interest appears to again be rekindled in the traditional Value based models, where investment decisions are based on sound company fundamentals rather than abstract future growth expectations. This paper reviews a specific set of value based filters for selecting undervalued stocks which appeared in a series of papers published soon after the 2000 Dot-Com debacle. This paper documents the performance of these filters in the Australian stockmarket.

AB - The development of the Financial Crisis throughout 2008 and into 2009 has caused many fund managers to question their Growth based investment models. Interest appears to again be rekindled in the traditional Value based models, where investment decisions are based on sound company fundamentals rather than abstract future growth expectations. This paper reviews a specific set of value based filters for selecting undervalued stocks which appeared in a series of papers published soon after the 2000 Dot-Com debacle. This paper documents the performance of these filters in the Australian stockmarket.

U2 - 10.2139/ssrn.1436207

DO - 10.2139/ssrn.1436207

M3 - Conference contribution

SN - 978-0-9873127-1-6

SP - 1

EP - 6

BT - Proceedings of The 22nd Australasian Finance and Banking Conference 2009

PB - Social Science Research Network (SSRN)

ER -