NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Security Analysis: An Investment Perspective

Kewei Hou, Haitao Mo, Chen Xue, Lu Zhang

NBER Working Paper No. 26060
Issued in July 2019
NBER Program(s):The Asset Pricing Program, The Corporate Finance Program, The Economic Fluctuations and Growth Program

The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability, and expected growth, is a good start to understanding Graham and Dodd’s (1934) Security Analysis. Empirically, the q^5 model goes a long way toward explaining prominent equity strategies rooted in security analysis, including Frankel and Lee’s (1998) intrinsic-to-market value, Piotroski’s (2000) fundamental score, Greenblatt’s (2005) “magic formula,” Asness, Frazzini, and Pedersen’s (2019) quality-minus-junk, Buffett’s Berkshire, Bartram and Grinblatt’s (2018) agnostic analysis, as well as Penman and Zhu’s (2014, 2018) and Lewellen’s (2015) expected-return strategies.

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Document Object Identifier (DOI): 10.3386/w26060

 
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