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However, the evidence presented in support of the first claim is not very convincing, as it is solely based on the classic book-to-market value strategy of Fama-French, while ignoring many related value strategies, based on earnings, cash-flows or dividends, for instance.
Book-to-market is known to be one of the weakest value strategies. It also tends to work strongly against other well-known factors, such as momentum, because it tends to buy stocks that have gone down considerably, as well as low-volatility, because it tends to buy financially distressed firms. Based on our research, value strategies which look at multiple valuation factors and which prevent negative exposures to other factors yield strong and robust results. Perhaps that makes us the “capable analysts” that the authors refer to in their study.
1Kok, Ribando & Sloan, “Facts about Formulaic Value Investing”, Financial Analysts Journal, Vol. 73, No. 2, 2017, pp. 81-99.