Josef Lakonishok - CEO and CIO of LSV Asset Management. Former Professor of Finance at the University of Illinois.. Here follow a selection of stock screening strategies that we have modelled based on the writings of or about Josef Lakonishok. These strategies are not endorsed by the author.
UK Data
A value and momentum screen focused on finding under-valued, out-of-favor companies just at the point when the market is starting to recognise them. According to Lakonishok, investors have judgmental biases and behavioral weaknesses including the tendency to extrapolate the past too far into the future, to wrongly equate a good company with a good investment irrespective of price, to ignore statistical evidence and to develop a "mindset" about a company. As a result, "value stocks become underpriced and glamour stocks become overpriced relative to their fundamentals". This screen looks for: At least one of Price-to-book, price-to-cash-flow, price-earnings or price-to-sales ratios more favourable than the industry 6 Month relative strength above zero 3 month relative strength above zero EPS Surprise or a trending revision in the analyst consensus more »
