NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Contrarian Investment, Extrapolation, and Risk

Josef Lakonishok, Robert W. Vishny, Andrei Shleifer

NBER Working Paper No. 4360
Issued in May 1993
NBER Program(s):   AP

For many years, stock market analysts have argued that value strategies outperform the market. These value strategies call for buying stocks that have low prices relative to earnings, dividends, book assets, or other measures of fundamental value. While there is some agreement that value strategies produce higher returns, the interpretation of why they do so is more controversial. This paper provides evidence that value strategies yield higher returns because these strategies exploit the mistakes of the typical investor and not because these strategies are fundamentally riskier.

download in pdf format
   (813 K)

email paper

This paper is available as PDF (813 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w4360

Published: Journal of Finance, December 1994, Vol. XLIX, No. 5, pp. 1541-1578. citation courtesy of

Users who downloaded this paper also downloaded these:
La Porta, Lakonishok, Shleifer, and Vishny w5311 Good News for Value Stocks: Further Evidence on Market Efficiency
Daniel and Titman w5604 Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
Jegadeesh and Titman w7159 Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
Hong, Lim, and Stein w6553 Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies
Jorgenson The Theory of Investment Behavior
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us