Bridge over ocean
1 January 1999 Research Foundation

Investment Styles, Market Anomalies, and Global Stock Selection

For years, investment professionals have used stock factors, such as price-to-book ratio, to help make stock selection decisions.

  1. Richard O. Michaud
Investment Styles, Market Anomalies, and Global Stock Selection View the full book (PDF)

For years, investment professionals have used stock factors, such as price-to-book ratio, to help make stock selection decisions. If a stock factor is associated with ex post risk-adjusted returns, it is said to be anomalous, and anomalous stock factors can often be profitably exploited. In this monograph, the author investigates factor-return relationships by looking at the rationales for their existence and by drawing on a database of global equity market data. The results of this analysis will comfort some readers while surprising others.

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