Josef Lakonishok: A Value Investing amp; Momentum Screen from his writings

In Brief
A value and momentum screen focused on finding under-valued, out-of-favor companies just at the point when the market is starting to recognise them. According to Lakonishok, investors have judgmental biases and behavioral weaknesses including the tendency to extrapolate the past too far into the future, to wrongly equate a good company with a good investment irrespective of price, to ignore statistical evidence and to develop a “mindset” about a company. As a result, “value stocks become underpriced and glamour stocks become overpriced relative to their fundamentals”. He  believes these biases and weaknesses can be exploited to achieve superior long term returns.
Background
In a 1994 study Contrarian Investment, Extrapolation and Risk, Lakonishok, Andrei Shleifer, and Robert Vishny examined the performance of value stocks relative to that of “glamour” securities in the United States over a 26-year period. The authors found that value stocks tended to outperform glamour stocks by wide margins. In his view, this is mainly because of investors extrapolating past fundamental performance too far into the future, resulting in many well performing stocks becoming overpriced and many poorly performing stocks becoming underpriced.
Along with fellow academics Andrei Shleifer (Harvard University) and Robert Vishny (now both retired), Josef Lakonishok set up