Analyst insights on using estimates to boost value investing

This report examines how sell-side analyst expectations of a company's return on equity (RoE) provide insights for systematic value investors. Researchers find that stocks with higher expected RoE outperform those with lower expected RoE, generating up to 1.03% monthly alpha.

However, value stocks have lower expected RoE than growth stocks, explaining the recent underperformance of value investing strategies. Any strategy investing in low expected RoE stocks is likely to underperform.

The report explores alternative value measures and ways to avoid "value traps." Deeper analysis of analyst expectations, especially around long-term growth, is needed to revive systematic value investing.

Read the full white paper to discover more.

Vendor:: S&P Global
Posted:: Oct 29, 2024
Published:: Oct 31, 2024
Format:: PDF
Type:: Research Content

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