Return Characteristics of Fundamentally Screened Stock Portfolios
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2014-09-26
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University of Hawaii at Manoa
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This is advice Benjamin Graham gave "Intelligent Investors" sixteen years ago. In today's world of efficient markets, Graham's thoughts would be criticized on the grounds that stock prices reflect fully all relevant known information, and, in retrospect, only appeared unusually depressed because new information entered the market place, resulting in an upward revision of common stock valuation in general, or in particular individual issues. Evidence in this report suggests Graham's advice, at least regarding relative under- evaluation of individual issues, may have been sound and thus as it casts doubt on the Efficient Market Hypothesis (EriUi). Specifically, the EMH does not explain the return performance of portfolio subgroups developed using known information. Price-earnings ratios and quarterly earnings reports, used individually and together as fundamental screens, demonstrate ability to discriminate between portfolios offering positive and negative returns.
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63 pages
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