00Thaler_FM i-xxvi.qxd

296 LAKONISHOK, SHLEIFER, VISHNY several measures of past growth, including earnings, cash flow, sales, and stock return, glamou ...

CONTRARIAN INVESTMENT 297 portfolio formation, the annual growth rate of cash flow for the glamour portfolio was 21.0 percent co ...

growth is driven almost entirely by higher growth in the first one to two postformation years. From year +2 to +5 postformation, ...

Over the previous five years cash flow for the glamour portfolio had grown at 21.7 percent per year while cash flow growth for t ...

on returns in that it shows a relationship between the past, the forecasted, and the actual future growth rates that is largely ...

Table 8.6 Y ear-by-Year Returns: Value–Glamour Panel 1: At the end of each April between 1968 and 1989, 10-decile portfolios are ...

Table 8.6 ( cont. ) Panel 1 Panel 2 Panel 3 (C/P:9, 10 – 1, 2) (C/P-GS:3, 1 – 1, 3) (B/M:9, 10 – 1, 2) 1-Year 3-Year 5-Year 1-Ye ...

CONTRARIAN INVESTMENT 303 using C/P and GS, and in 17 out of 22 years using the B/M ratio. As we move to longer horizons, the co ...

304 LAKONISHOK, SHLEIFER, VISHNY covariance between the negative realizations of the value minus glamour re- turn and this payof ...

Table 8.7 Performance of Portfolios in Best and Worst Times Panel 1: All months in the sample are divided into 25 worst stock re ...

Table 8.7 ( cont. ) Panel 1B V alue- Glamour Value Glamour B/M 1 2 3 4 5 6 7 8 9 10 Index (9, 10 – 1, 2) t-Statistic W 25 −0.112 ...

CONTRARIAN INVESTMENT 307 other than the twenty-five worst, the one hundred and twenty-two positive months other than the twenty ...

308 LAKONISHOK, SHLEIFER, VISHNY strategy. For both classification schemes, the value strategy performed at least as well as the ...

Table 8.8 T raditional Risk Measures for Portfolios For each portfolio described below, we compute, using 22 year-after-the-form ...

Table 8.8 (cont.) Panel 2 Equally C/P 1 2 3 1 2 3 1 2 3 Weighted GS 3 3 3 2 2 2 1 1 1 Index β 1.249 1.296 1.293 1.239 1.184 1.21 ...

already shown that, because of its much higher mean return, the value strategy’s higher standard deviation does not translate in ...

This conclusion raises the obvious question: How can the 10 to 11 per- cent per year in extra returns on value stocks over glamo ...

growth rates are highly unlikely to persist in the future. Putting excessive weight on recent past history, as opposed to a rati ...

not explain why he would not tilt slightly toward value given its apparently superior risk/return profile. Hence, these horizon ...

References Ball, R., and S. Kothari, 1989, Non-stationary expected returns: Implications for tests of market efficiency and seri ...