In exploring the possibilities of tilting a portfolio of index funds to small and value stocks, I ran across this study by the University of North Carolina raising questions about whether book-to-market ("book market") is still "a good proxy" for determining fundamental equity (e.g., the value premium). That seems like a big issue since book-to-market was the measure that Fama and French used in identifying a premium over time for value stocks. Here is the UNC paper:
https://papers.ssrn.com/sol3/papers.cfm ... id=3573444
Then, I read an old post on Bogleheads highlighting research about the difficulties of measuring the 'profitability' factor. Although this thread began in 2013, it still seems relevant since many value tilted stock ETFs these days -- like those from DFA and Avantis -- also advocate screening for higher levels of profitability. Here is the post:
viewtopic.php?t=122860
Are questions like these why many on this forum warn about deviating too much from a total stock market approach to investing?
https://papers.ssrn.com/sol3/papers.cfm ... id=3573444
Then, I read an old post on Bogleheads highlighting research about the difficulties of measuring the 'profitability' factor. Although this thread began in 2013, it still seems relevant since many value tilted stock ETFs these days -- like those from DFA and Avantis -- also advocate screening for higher levels of profitability. Here is the post:
viewtopic.php?t=122860
Are questions like these why many on this forum warn about deviating too much from a total stock market approach to investing?
Statistics: Posted by BetaTracker — Thu Sep 05, 2024 4:46 am — Replies 3 — Views 359