• A framework for value investing
    with S. Chee and R. Sloan
    This paper provides a framework for defining, formulating and evaluating value investment strategies. We define the relative value of an investment in terms of the prospective yield implied by the investment's current price and expected future cash flows. We develop an intuitive and parsimonious approach for estimating the prospective yield by aggregating cum-dividend expected earnings over a suitable forecast horizon. We also adapt this approach to construct a realized yield metric that can be …Read more