Sunil Wahal, Ph.D.
Consultant to Avantis Investors®
Sunil Wahal, Ph.D. and Eduardo Repetto, Ph.D. have published a research paper focused on international tests on the conjoint nature of value and profitability. Posted recently to SSRN, the article’s abstract follows:
We examine the joint distribution of value and profitability in international markets. Over the 1990-2020 sample period, portfolios formed at the intersection of value and profitability have generated systematic return patterns: value and high-profitability portfolios have substantially outperformed growth and low- profitability portfolios. The return differences have been historically present in developed markets (ex-US), emerging markets, subsets and combinations thereof (EAFE, ACWI ex-US), as well as in large and small stocks. When viewed in combination with similar such evidence from the US, the data suggest important benefits to targeting value and profitability jointly rather than piecemeal.
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