Value Investing: Evidence from the Dutch Stock Market

This study tests the performance of value investing strategies for the Dutch stock market using stock market data covering the period between 1995 and 2013. The topic of value investing has been covered extensively in the financial literature, but there is not much evidence on the effectiveness of value investing on the Dutch stock market. The purpose of this article is to strengthen the evidence using a large dataset covering the last twenty years. The data for this research is based on stocks trading at the Euronext Amsterdam. The results of this study show there is indeed a value premium on the Dutch stock market, consistent with the majority of the international evidence. The value premium however differs from one indicator to the next. The price to earnings ratio (P/E), the return on assets (ROA) and the return on invested capital (ROIC) are the strongest value indicators. The results also show some value premium for stocks with a high book to market value ratio and for stocks with a high cash flow yield. The relationship between dividend yield and stock performance was unclear.