Does value investing yield abnormal returns?

Abstract: Studies suggest that value investing's performance has deteriorated due to the increasing share of intangibles, which has complicated the process of identifying value stocks. We study the value investing strategies Greenblatt's Magic Formula and Piotroski's F-score in the Nordic region from 2012 to 2022. We investigate whether value investing can yield abnormal returns and if the share of intangible assets affects the performance of the strategies. Our results show that value investing strategies achieve abnormal returns on a statistically significant level, when adjusted for risk using Fama and French's Three-Factor model. However, we do not find statistically significant differences in abnormal return between strategies applied to sets of stocks with different levels of Intangibles-to-Assets ratios.