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These articles contain the opinions of the authors but not necessarily of Dimensional, and do not represent a recommendation of any particular security, strategy or investment product. The authors' opinions are subject to change without notice. Information contained herein has been obtained from sources believed to be reliable, but is not guaranteed.
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| The Informational Efficiency of Stock Prices: A Review by James L. Davis March 2006 Many studies have discussed whether securities are efficiently priced. The available evidence indicates that professional money managers have not been able to exploit cost-effectively any pricing errors that do occur. |
Update of the Research Underlying Dimensional's Bond Strategies by Eugene F. Fama September 2003 Many investors and financial commentators believe high earnings growth rates and high rates of return go hand in hand. But earnings growth only determines the breakdown of total returns into dividend yield and capital gain. Total expected returns are determined by risk alone. | |
| The Dimensions of Stock Returns: 2002 Update by Truman A. Clark April 2002 Earlier research of Fama and French, that found size and book-to-market best explain the variation in stock returns, is updated through 2001. |
by Eugene Fama Jr. December 2001 In spite of having constructed a diversified portfolio, the disciplined investor will still notice at any given time a small number of highly volatile stocks that seem to threaten to undermine the goal of the portfolio. This, however, is an example of random error that must be tolerated but can be explained. | |
| Explaining Stock Returns: A Literature Survey by James L. Davis December 2001 Some of the important financial theories underlying the behavior of stock returns are summarized. Results of several empirical studies into these theories are also described. |
Is There Still Value in the Book-to-Market Ratio? by James L. Davis January 2001 Despite recent arguments to the contrary, there is no evidence of book-to-market ratio (BtM) becoming irrelevant for identifying value stocks. Compared to popular alternatives, BtM is at least as good at producing dispersion in average returns. | |
| The Information in the Term Structure: An Update by James L. Davis October 2000 For most forecasting horizons, the best predictor of spot interest rates is the current interest rate. This implies there is more information in the term structure about expected returns than future interest rates. |
Earnings Growth and Stock Returns by Truman A. Clark August 2000 Many investors and financial commentators believe high earnings growth rates and high rates of return go hand in hand. But earnings growth only determines the breakdown of total returns into dividend yield and capital gain. Total expected returns are determined by risk alone. | |
| Random Drift and Asset Allocation by David G. Booth July 1999 The unusually strong performance of large cap stocks in the late 1990s is put into perspective. Patterns in the historical returns represent the normal drift of a random walk. |
by Rex A. Sinquefield October 1995 A transcript of Rex Sinquefield's opening statement in a debate about active vs. passive management with Donald Yacktman at the Schwab Institutional conference in San Francisco, October 12, 1995. |