Therefore, Reyer and I decided to conduct our own research into the matter. When the results looked promising, we subsequently teamed up with Professor George Athanassakos of the Richard Ivey School of Business to author a paper describing these results and the methodology. I'm pleased to announce that the paper is available here, under the heading:
In it, we analyze financial data for low P/E and low P/B firms for each year in the preceding business cycle. We attempt to weed out the higher risk firms (due to business risk, financial risk, or a combination of the two), as value investors would normally do. We then observe that this process does indeed bear fruitful results, which the reader is encouraged to see for himself!
Many thanks to Reyer and George, whose contributions to the paper far outweighed mine!