Skip to main content
Presentation
Returns to selecting value stocks in Australia – The Aby filters
22nd Australasian Finance and Banking Conference (2009)
  • Bruce Vanstone, Bond University
  • Tobias Hahn, Bond University
  • Gavin Finnie, Bond University
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 future growth 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.

Keywords
  • fundamental analysis,
  • investment models,
  • Aby filters
Publication Date
December 18, 2009
Comments
Citation only.

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.

Access the publisher's website.

2009 HERDC submission. FoR code: 0806; 1502

© Copyright Social Science Electronic Publishing, Inc., 2009
Citation Information
Bruce Vanstone, Tobias Hahn and Gavin Finnie. "Returns to selecting value stocks in Australia – The Aby filters" 22nd Australasian Finance and Banking Conference (2009)
Available at: http://works.bepress.com/bruce_vanstone/18/