Title

Returns to selecting value stocks in Australia – The Aby filters

Date of this Version

12-18-2009

Document Type

Conference Paper

Publication Details

Vanstone, B., Hahn, T. & Finnie, G. (2009). Returns to selecting value stocks in Australia – The Aby filters. Paper presented at the 22nd Australasian finance and banking conference, Sydney, Australia.

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2009 HERDC submission. FoR code: 0806; 1502

© Copyright Social Science Electronic Publishing, Inc., 2009

Abstract

The development of the Financial Crisis throughout 2008 and into 2009 has caused many fund managers to question their Growth based investment models. Interest appears to be again rekindled in the traditional Value based models, where investment decisions are based on sound company fundamentals rather than abstract futuregrowth expectations. This paper reviews a specific set of value based filters for selecting undervalued stocks which appeared in a series of papers published soon after the 2000 Dot-Com debacle. This paper documents the performance of these filters in the Australian stockmarket.

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This document has been peer reviewed.