A New Value Strategy
提出以现金经营利润与价格之比（COP/P）作为新价值指标，发现买入高COP/P股票、卖空低COP/P股票的组合月收益达0.78%（价值加权）或1.04%（等权），该效应在大型股和1990年后仍显著，优于传统账面市值比等指标。
Abstract Traditional value measures performed poorly over the past three decades. We reevaluate the value strategy using a new measure—the ratio of cash-based operating profitability to price (COP/P)—and find a zero-investment portfolio that buys the highest-COP/P stocks and shorts the lowest-COP/P stocks earns monthly returns of 0.78% on a value-weighted basis and 1.04% on an equal-weighted basis. The COP/P effect holds even for large-capitalization stocks and exists even in the post-1990 period, when book-to-market does not predict returns. The COP/P measure subsumes many widely used value measures and the conservative-minus-aggressive investment factor.