Читать книгу Behavioral Finance and Your Portfolio - Michael M. Pompian - Страница 23

Irregularities that emerge when a stock's performance is considered in light of a fundamental assessment of the stock's value are known as fundamental anomalies. Many people, for example, are unaware that value investing—one of the most popular and effective investment methods—is based on fundamental anomalies in the efficient market hypothesis. There is a large body of evidence documenting that investors consistently overestimate the prospects of growth companies and underestimate the value of out-of-favor companies.

One example concerns stocks with low price-to-book-value (P/B) ratios. Eugene Fama and Kenneth French performed a study of low price-to-book-value ratios that covered the period between 1963 and 1990.¹¹ The study considered all equities listed on the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX), and the Nasdaq. The stocks were divided into 10 groups by book/market and were reranked annually. The lowest book/market stocks outperformed the highest book/market stocks 21.4 percent to 8 percent, with each decile performing more poorly than the previously ranked, higher-ratio decile. Fama and French also ranked the deciles by beta and found that the value stocks posed lower risk and that the growth stocks had the highest risk. Another famous value investor, David Dreman, found that for the 25-year period ending in 1994, the lowest 20 percent P/B stocks (quarterly adjustments) significantly outperformed the market; the market, in turn, outperformed the 20 percent highest P/B of the largest 1,500 stocks on Compustat.¹²

Securities with low price-to-sales ratios also often exhibit performance that is fundamentally anomalous. Numerous studies have shown that low P/B is a consistent predictor of future value. In What Works on Wall Street, however, James P. O'Shaughnessy demonstrated that stocks with low price-to-sales ratios outperform markets in general and also outperform stocks with high price-to-sales ratios. He believes that the price/sales ratio is the strongest single determinant of excess return.¹³

Low price-to-earnings ratio (P/E) is another attribute that tends to anomalously correlate with outperformance. Numerous studies, including David Dreman's work, have shown that low P/E stocks tend to outperform both high P/E stocks and the market in general.¹⁴

Ample evidence also indicates that stocks with high dividend yields tend to outperform others. The Dow Dividend Strategy counsels purchasing the 10 highest-yielding Dow stocks.