Returns to selecting value stocks in Australia - The Aby filters

Bruce J Vanstone, Tobias Hahn, Gavin Finnie

Research output: Chapter in Book/Report/Conference proceedingConference contributionResearchpeer-review

Abstract

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.
Original languageEnglish
Title of host publicationProceedings of The 22nd Australasian Finance and Banking Conference 2009
Place of PublicationRochester, New York
PublisherSocial Science Research Network (SSRN)
Pages1-6
Number of pages6
ISBN (Print)978-0-9873127-1-6
DOIs
Publication statusPublished - 2009
EventAustralasian Finance and Banking Conference - Sydney, Australia
Duration: 16 Dec 200918 Dec 2009
Conference number: 22nd
https://www.business.unsw.edu.au/about/schools/banking-finance/seminars-conferences/australasian-finance-banking-conference/22nd-australasian-finance-and-banking-conference

Conference

ConferenceAustralasian Finance and Banking Conference
Abbreviated titleAFBC
CountryAustralia
CitySydney
Period16/12/0918/12/09
Internet address

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  • Cite this

    Vanstone, B. J., Hahn, T., & Finnie, G. (2009). Returns to selecting value stocks in Australia - The Aby filters. In Proceedings of The 22nd Australasian Finance and Banking Conference 2009 (pp. 1-6). Social Science Research Network (SSRN) . https://doi.org/10.2139/ssrn.1436207