TY  - JOUR
AU  - Lakonishok,Josef
AU  - Vishny,Robert W.
AU  - Shleifer,Andrei
TI  - Contrarian Investment, Extrapolation, and Risk
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4360
PY  - 1993
Y2  - May 1993
UR  - http://www.nber.org/papers/w4360
L1  - http://www.nber.org/papers/w4360.pdf
N1  - Author contact info:
Josef Lakonishok
University of Illinois, Department of Finance
College of Commerce & Business Administration
1206 S. Sixth Street
Champaign, IL 61820
Tel: 217/333-7185
Fax: 217/244-1151
E-Mail: jlakonishok@yahoo.com

Robert W. Vishny
Booth School of Business
The University of Chicago
5807 South Woodlawn Avenue
Chicago, IL  60637
Tel: 773/702-2522
Fax: 773/834-1920
E-Mail: Rvishny@gmail.com

Andrei Shleifer
Department of Economics
Harvard University
Littauer Center M-9
Cambridge, MA 02138
Tel: 617/495-5046
Fax: 617/496-1708
E-Mail: ashleifer@harvard.edu
AB  - 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.
ER  -