Exploitability of Deep Value across Asset Classes
December 15, 2017 - Bonds, Commodity Futures, Currency Trading, Equity Premium, Fundamental Valuation
Is value investing particularly profitable when the price spread between cheap and expensive assets (the value spread) is extremely large (deep value)? In their November 2017 paper entitled “Deep Value”, Clifford Asness, John Liew, Lasse Pedersen and Ashwin Thapar examine how the performance of value investing changes when the value spread is in its largest fifth (quintile). They consider… Keep Reading