Fact, Fiction, and Value Investing

ArXiv ID: ssrn-2595747 “View on arXiv”

Authors: Unknown

Abstract

Value investing has been a part of the investment lexicon for at least the better part of a century. In particular the diversified systematic “value factor” or

Keywords: Value Investing, Value Factor, Systematic Investing, Factor Investing, Equities

Complexity vs Empirical Score

• Math Complexity: 1.5/10
• Empirical Rigor: 8.0/10
• Quadrant: Street Traders
• Why: The paper relies on accessible, industry-standard data for straightforward empirical tests, resulting in high empirical rigor, but uses minimal advanced mathematics or dense formulas, leading to low math complexity.

  flowchart TD
    A["Research Goal<br>Is the value factor robust<br>across time and geographies?"] --> B["Methodology<br>Longitudinal & cross-sectional analysis"]
    B --> C["Data Inputs<br>Global equities<br>Decades of historical data"]
    C --> D["Computational Process<br>Systematic value factor construction<br>Backtesting & attribution"]
    D --> E["Key Findings<br>Value factor persists but varies<br>Systematic implementation required"]