When Valuation Fails
研究价值股长期表现不佳的原因，归因于技术颠覆和无形资产会计处理不足，提出数据挖掘置信带方法避免过拟合，发现估值策略回报有限但结合动量调整后有所改善，强调投资者需结合判断和基本面研究。
Is relative valuation investing dead? Are markets “broken”? The authors attribute the long period of underperformance of value stocks to technological disruptions and inadequate accounting for intangible assets. They introduce a new methodology, <italic>data mining confidence bands</italic>, to provide transparency in backtesting performance and avoid overfitted models. Backtesting 24 strategies shows modest returns for valuation-based approaches, with improved results when incorporating momentum adjustments. Despite the diminished effectiveness of relative valuation signals over the past two decades, relative valuation investing remains viable. Successful investors must adapt by incorporating judgment, accounting adjustments, fundamental research, and awareness of technological and macroeconomic trends.