1 Collaborative Research Possibilities at TYMS Dr. Keith Anderson Collaborative Research Away Day 25 th September 2008

2 Presentation Areas Papers already published Papers already published Other publications Other publications Papers currently under development Papers currently under development Ideas for future papers and possible collaboration Ideas for future papers and possible collaboration

3 Papers Already Published Based on PhD thesis chapters: The Long-Term Price-Earnings Ratio: taking a longer-term view of earnings doubles the power of the P/E to predict returns JBFA 2006 (3*) The Long-Term Price-Earnings Ratio: taking a longer-term view of earnings doubles the power of the P/E to predict returns JBFA 2006 (3*) Decomposing the P/E: allowing for regularities of size and industry and weighting appropriately also increases P/E’s power JAM 2006 (2*) Decomposing the P/E: allowing for regularities of size and industry and weighting appropriately also increases P/E’s power JAM 2006 (2*) Extreme value returns: The ‘naked P/E’ (that part not explained by size and industry) gives extremely high (40%+) returns for extreme value portfolios Journal of Investing 2007 (2*) Extreme value returns: The ‘naked P/E’ (that part not explained by size and industry) gives extremely high (40%+) returns for extreme value portfolios Journal of Investing 2007 (2*)

4 Other Past Publications 2006 Financial Times article about my long- term P/E paper 2006 Financial Times article about my long- term P/E paper Three articles in Professional Investor magazine, the journal of UKSIP Three articles in Professional Investor magazine, the journal of UKSIP Interactive Investor quarterly update of low ‘naked P/E’ stocks Interactive Investor quarterly update of low ‘naked P/E’ stocks

5 Papers Under Development Speculative Bubbles in the S&P 500 with Chris Brooks (ICMA) and Apostolos Katsaris (Caliburn Capital). ‘Revised and resubmitted’ to the Journal of Empirical Finance (3*) Speculative Bubbles in the S&P 500 with Chris Brooks (ICMA) and Apostolos Katsaris (Caliburn Capital). ‘Revised and resubmitted’ to the Journal of Empirical Finance (3*) Does Improving a Firm’s Environmental Performance Mitigate its Risk? with Steve Toms and Aly Salama (Durham) – presented at BAA Blackpool Does Improving a Firm’s Environmental Performance Mitigate its Risk? with Steve Toms and Aly Salama (Durham) – presented at BAA Blackpool Speculative Bubbles at the Level of Individual Stocks with Chris Brooks Speculative Bubbles at the Level of Individual Stocks with Chris Brooks

6 Forthcoming Book Very interested in contact with market participants Very interested in contact with market participants Book on the P/E just signed with Harriman House Book on the P/E just signed with Harriman House – History of the P/E vs. other investor ratios – The P/E during bubbles – Methods of calculation – The long-term and naked P/Es

7 Future Papers How to invest a Child Trust Fund How to invest a Child Trust Fund – funding application submitted to Inquire UK – Could be a large project with Social Sciences involvement US version of The Long-Term Price-Earnings Ratio – requires CRSP/Compustat US version of The Long-Term Price-Earnings Ratio – requires CRSP/Compustat Using portfolios of options to exploit the value/glamour split Using portfolios of options to exploit the value/glamour split

8 Summary Three papers published so far Three papers published so far Two more submitted / close to submission Two more submitted / close to submission Good pipeline of papers at varying stages of completion Good pipeline of papers at varying stages of completion Plenty of possibilities for collaboration if you share my strong practical interest in investment Plenty of possibilities for collaboration if you share my strong practical interest in investment