References
- Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, 23(4), 589–609. https://doi.org/https://doi.org/10.1111/j.1540-6261.1968.tb00843.x
- Asness, C. S., Frazzini, A., & Pedersen, L. H. (2019). Quality minus junk. Review of Accounting Studies, 24(1), 34–112. https://doi.org/https://doi.org/10.1007/s11142-018-9470-2
- Bali, T. G., & Cakici, N. (2004). Value at risk and expected stock returns. Financial Analysts Journal, 60(2), 57–73. https://doi.org/https://doi.org/10.2469/faj.v60.n2.2610
- Basu, S. (1977). The investment performance of common stocks in relation to their price-to-earnings: A test of the efficient markets hypothesis. The Journal of Finance, 32(3), 663–682. https://doi.org/https://doi.org/10.1111/j.1540-6261.1977.tb01979.x
- Bhandari, L. C. (1988). Debt/equity ratio and expected common stock returns: Empirical evidence. The Journal of Finance, 43(2), 507–528. https://doi.org/https://doi.org/10.1111/j.1540-6261.1988.tb03952.x
- Blackburn, D. W., & Cakici, N. (2017). The magic formula: Value, profitability, and the cross section of global stock returns. https://ssrn.com/abstract=2956448 or https://doi.org/http://dx.doi.org/10.2139/ssrn.2956448
- Campbell, J. Y., Hilscher, J., & Szilagyi, J. (2008). In search of distress risk. The Journal of Finance, 63(6), 2899–2939. https://doi.org/https://doi.org/10.1111/j.1540-6261.2008.01416.x
- Cremers, M., & Petajisto, A. (2009). How active is your fund manager? A new measure that predicts performance. Review of Financial Studies, 22(9), 3329–3365. https://doi.org/https://doi.org/10.1093/rfs/hhp057
- Desai, H., Rajgopal, S., & Venkatachalam, M. (2004). Value glamour and accruals mispricing: One anomaly or two? The Accounting Review, 79(2), 355–385. https://doi.org/https://doi.org/10.2308/accr.2004.79.2.355
- Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427–465. https://doi.org/https://doi.org/10.1111/j.1540-6261.1992.tb04398.x
- Fama, E. F., & French, K. R. (2013). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22. https://doi.org/https://doi.org/10.1016/j.jfineco.2014.10.010
- Frankel, R., & Lee, C. M. C. (1998). Accounting valuation, market expectation, and cross-sectional stock returns. Journal of Accounting and Economics, 25(3), 283–319. https://doi.org/https://doi.org/10.1016/S0165-4101(98)00026-3
- García, F. (2016). Invirtiendo a largo plazo. Editorial Deusto.
- George, T. J., & Hwang, C. Y. (2010). A resolution of the distress risk and leverage puzzles in the cross section of stock returns. Journal of Financial Economics, 96(1), 56–79. https://doi.org/https://doi.org/10.1016/j.jfineco.2009.11.003
- Greenblatt, J. (2006). The little book that beats the market. Editorial John Wiley and Sons Inc.
- Kanury, S. and Mcleod, R. (2016). Sustainable competitive advantage and stock performance: the case for wide moat stocks. Applied Economics, 48(52), 5117–5127. https://doi.org/https://doi.org/10.1080/00036846.2016.1170938
- Kothari, S. P., & Shanken, J. (1997). Book-to-market, dividend yield, and expected market returns: A time-series analysis. Journal of Financial Economics, 44(2), 169–203. https://doi.org/https://doi.org/10.1016/S0304-405X(97)00002-0
- Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. The Journal of Finance, 49(5), 1541–1578. https://doi.org/https://doi.org/10.1111/j.1540-6261.1994.tb04772.x
- Lee, C. M. C. (2014). Value investing: Bridging theory and practice. China Accounting and Finance Review, 16(2), 1–29. https://doi.org/https://doi.org/10.7603/s40570-014-0005-3
- Livingston, M., Yao, P., & Zhou, L. (2019). The volatility of mutual fund performance. Journal of Economics and Business, 104(July–August), 105835. https://doi.org/https://doi.org/10.1016/j.jeconbus.2019.02.001
- Lo, A. W. (2004). The adaptive markets hypothesis: Market efficiency from an evolutionary perspective. The Journal of Portfolio Management, 30(5), 15–29. https://doi.org/https://doi.org/10.3905/jpm.2004.442611
- Mohanram, P. S. (2005). Separating winners from losers among low book-to-market stocks using financial statement analysis. Review of Accounting Studies, 10(2–3), 133–170. https://doi.org/https://doi.org/10.1007/s11142-005-1526-4
- O’Shaughnessy, J. (2011). Whatworks on Wall Street, 4th ed., McGraw-Hill, New York
- Otero, L., & Durán, P. (2021). Is quantitative and qualitative information relevant for choosing mutual funds? Journal of Business Research, 123(February), 476–488. https://doi.org/https://doi.org/10.1016/j.jbusres.2020.10.015
- Penman, S., Richardson, S., & Tuna, I. (2007). The book-to-price effect in stock returns: Accounting for leverage. Journal of Accounting Research, 45(2), 427–467. https://doi.org/https://doi.org/10.1111/j.1475-679X.2007.00240.x
- Petajisto, A. (2013). Active share and mutual fund performance. Financial Analysts Journal, 69(4), 73–93. https://doi.org/https://doi.org/10.2469/faj.v69.n4.7
- Piotroski, J. D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 38(1), 1–41. https://doi.org/https://doi.org/10.2307/2672906
- Pontiff, J., & Schall, L. D. (1998). Book-to-market ratios as predictors of market returns. Journal of Financial Economics, 49(2), 141–160. https://doi.org/https://doi.org/10.1016/S0304-405X(98)00020-8
- Reinganum, M. R. (1981). Misspecification of capital asset pricing: empirical anomalies based on earnings’ yield and market values. Journal of Financial Economics, 9(1), 19–46. https://doi.org/https://doi.org/10.1016/0304-405X(81)90019-2
- Rosenberg, B., Reid, K., & Lanstein, R. (1985). Persuasive evidence of market inefficiency. The Journal of Portfolio Management, 11(3), 9–17. https://doi.org/https://doi.org/10.3905/jpm.1985.409007
- Stattman, D. (1980). Book values and stock returns. The Chicago MBA. A Journal of Selected Papers, 4, 25–45.
- Van Gelderen, E., & Huij, J. (2014). Academic knowledge dissemination in the mutual fund industry: Can mutual funds successfully adopt factor investing strategies? The Journal of Portfolio Management, 40(4), 157–167. https://doi.org/https://doi.org/10.3905/jpm.2014.40.4.157