Facts about Formulaic Value Investing
研究了使用基本面指标与市场价格比率的量化价值投资策略，发现这些策略在美国股市中并未带来超额收益，而是识别出会计数字暂时膨胀的公司。
The term “value investing” is increasingly being adopted by quantitative investment strategies that use ratios of common fundamental metrics (e.g., book value, earnings) to market price. A hallmark of such strategies is that they do not involve a comprehensive effort to determine the intrinsic value of the underlying securities. We document two facts about such strategies. First, there is little compelling evidence that these strategies deliver superior investment performance for US equities. Second, instead of identifying undervalued securities, these strategies systematically identify companies with temporarily inflated accounting numbers. We argue that these strategies should not be confused with value strategies that use a comprehensive approach in determining the intrinsic value of the underlying securities.