Author

S. F. Nicholson

S. Basu

J. Lakonishok, A. Schleifer, W. Vishny

R. Fuller, L. Huberts, M. Levinson

D. Dreman, M. Berry

K. Hackel, J. Livnat, A. Rai

S. Calderwood

C. Capaul, I. Rowley, W. Sharpe

R Harris, F. Marston

W. Bauman, C. Conover, R. Miller

Period of Study

1937-1963

9/56-8/71

1963-1990

1973-1990

1/73-3/93

1978-1991

1981-1994

1/81-6/92

7/82-12/89

1986-1996

Data Source

Studley Shuper & Co. industry summaries

Compustat and CRSP

Compustat and CRSP

Compustat and Barra

Abel Noser database and Compustat

Compustat and CRSP

Standard & Poor

S&P/Barra and Union Bank of Switzerland

Compustat, CRSP and IBES

Compustat Global Vantage

Types of Companies

189 companies in 18 industries excluding bank, insurance, utility and transportation

1400 NYSE traded industrial companies

NYSE and AMEX

approximately 1000 largest market capitalization stocks

995 companies

NYSE, AMEX and NASDAQ

Numerous screening criteria (56-131 stocks)

S&P 500 stocks

Indexes for France, Germany, Switzerland, UK, Japan, USA

600 companies

21 countries

approx. 2800 stocks

Grouped by:

Quintiles

Quintiles

Deciles

Quintiles

20%/60%/20%

One Portfolio

One Portfolio-30%

Two Groups

30%/40%/30%

Quartiles

Frequency of  Rebalancing

Annual

Annual

Annual

Annual

Annual

Price/Free Cash Flow

Quarter

Semiannual

Month

Annual

Variables Tested

Price/Earnings

Price/Sales

Price/Depreciation

Price/Earnings

Price/Book Value

Price/Cash Flow

Price/Earnings

Sales Growth

Price/Earnings

Price/Earnings

Dividend Yield

Price/Book Value

Price/Earnings

Price/Book Value

Price/Book Value

Earnings Growth

Price/Earnings

Price/Cash Flow

Price/Book Value

Dividend Yield

Value-Growth* annualized return difference

for P/E =13%

for P/S = 2%

for P/D = 3%

for P/E=6.75%

for P/B=4.5%

for P/CF=8.4%

for P/E=3.1%

for SG=4.9%

for P/E=8.0%

for P/E=9.8%

for P/B=3.4%

for P/B=3.9%

for EG=0.4%

for P/E=4.4%

for P/CF=4.3%

for P/BV=5.7%

for DY=4.8%

Value-Benchmark annualized return difference

vs. mid-quintile = 9%

vs. sample = 4.19%

size adjusted returns:

for P/B=2.3%

for P/CF=3.5%

for P/E=1.2%

for SG=2.1%

vs. mid-quintile:

for P/E=3.1%

vs. total sample:

for P/E=5.2%

vs. CRSP Index for P/FCF=7.0%

vs. S&P 500:

for DY=5.0%

for P/B=4.8%

for P/E=4.2%

for Combined Criteria=6.8%

vs. total sample:

for P/B=3.9%

for EG=0.4%