The Icahn Manifesto in the Journal of Applied Corporate Finance (Fall 2014)
Midwest Finance Association 2012 Annual Meetings Paper with Jeffrey Oxman, and Sunil K. Mohanty.
The strategy of buying and holding “net nets” has been advocated by deep value investors for decades, but systematic studies of the returns to such a strategy are few. We detail the returns generated from a net nets strategy implemented from 1984 – 2008, and then attempt to explain the excess returns (alpha) generated by the net nets strategy. We find that monthly returns amount to 2.55%, and excess returns using a simple market model amount to 1.66%. After controlling for a variety of risk factors and firm characteristics, and imposing several filters, we find a remaining significant excess return.