Scouting for Value

In this volatile market environment, I have decided to look for value by screening for stocks that have fallen the most despite posting strong quarterly reports during this earnings season.

I believe that earnings momentum is a stable metric that both value and growth investors look for, and gives investors something fundamental to focus on away from the noise and volatility of the violent intraday trading swings we've experienced lately.

With that in mind, I used Bloomberg to find the stocks that beat consensus profit estimates this quarter and did not previously warn or lower forward guidance.

I then sorted them by return in three different groups: large-caps, mid-caps and small-caps.

As of Tuesday's closing prices, each of these stocks has fallen at least as much post-earnings as the 8%-plus that the benchmark S&P 500 has dropped since its intraday peak reached on July 16.

This screen is similar to the one I published in the Value Investor newsletter earlier this week.

I run a different proprietary screen in each weekly issue.

These stocks are meant as a starting point for readers, similar to the tools I use to generate trading ideas.

Readers should conduct their own homework before making any investment decisions.

Scouting Out Value: Large-Caps
Ticker	Company	Price	Market Cap	Industry	% Change since Earnings
FRX	FOREST LABS INC	$37.89	$12,126,330,000	Consumer, Non-cyclical	-18.7
PCS	METROPCS COMMUNI	$32.00	$11,092,600,000	Communications	-18
XRX	XEROX CORP	$16.35	$15,301,250,000	Technology	-15.4
WM	WASH MUTUAL INC	$36.19	$32,151,500,000	Financial	-14.6
MER	MERRILL LYNCH	$75.19	$64,806,960,000	Financial	-14
X	US STEEL CORP	$92.21	$10,900,560,000	Basic Materials	-13
DO	DIAMOND OFFSHORE	$96.08	$13,324,700,000	Energy	-12.9
WYE	WYETH	$49.34	$66,344,570,000	Consumer, Non-cyclical	-12.8
LM	LEGG MASON INC	$87.11	$11,744,830,000	Financial	-11.6
GLW	CORNING INC	$23.18	$36,593,540,000	Communications	-11.5
HES	HESS CORP	$57.28	$18,214,550,000	Energy	-11.4
GCI	GANNETT CO	$49.28	$11,564,470,000	Communications	-10.2
OXY	OCCIDENTAL PETE	$55.35	$46,151,600,000	Energy	-9.8
MHP	MCGRAW-HILL COS	$57.27	$19,408,800,000	Communications	-9.6
EPD	ENTERPRISE PRODU	$29.55	$12,795,100,000	Energy	-9.3
JPM	JPMORGAN CHASE	$45.34	$154,088,000,000	Financial	-9.2
MRO	MARATHON OIL	$52.40	$35,689,750,000	Energy	-8.1
STI	SUNTRUST BANKS	$80.67	$28,177,620,000	Financial	-8.1
SWY	SAFEWAY INC	$33.05	$14,535,390,000	Consumer, Non-cyclical	-8.1
Source: Bloomberg

Scouting Out Value: Mid-Caps
Ticker	Company	Price	Market Cap	Industry	% Change since Earnings
ETFC	E*TRADE FINANCIAL	$16.61	$7,063,514,000	Financial	-20.4
SOV	SOVEREIGN BANCOR	$17.79	$8,484,628,000	Financial	-18.6
ETP	ENERGY TRANSFER	$52.33	$8,533,357,000	Energy	-18.2
AYI	ACUITY BRANDS	$52.13	$2,275,312,000	Industrial	-18
AMTD	TD AMERITRADE HO	$16.31	$9,719,739,000	Financial	-17.6
TLAB	TELLABS INC	$10.09	$4,432,952,000	Communications	-17.3
RSH	RADIOSHACK CORP	$23.88	$3,293,225,000	Consumer, Cyclical	-17.1
MICC	MILLICOM INTL	$80.88	$8,143,312,000	Communications	-16.6
CAL	CONTINENTAL AI-B	$31.05	$3,037,737,000	Consumer, Cyclical	-15.7
HAS	HASBRO INC	$27.48	$4,379,603,000	Consumer, Cyclical	-15.6
RYN	RAYONIER INC	$40.91	$3,184,587,000	Basic Materials	-15.4
WHR	WHIRLPOOL CORP	$98.84	$7,766,870,000	Consumer, Cyclical	-15.3
CLMS	CALAMOS ASSET-A	$23.09	$2,316,485,000	Financial	-14.9
CBE	COOPER INDS-A	$50.21	$9,223,212,000	Industrial	-14.1
SSCC	SMURFIT-STONE CO	$10.60	$2,708,062,000	Basic Materials	-13.5
EFX	EQUIFAX INC	$39.25	$5,527,348,000	Consumer, Non-cyclical	-13.1
DAL	DELTA AIR LI	$18.45	$4,440,365,000	Consumer, Cyclical	-12.9
TER	TERADYNE INC	$15.50	$2,940,637,000	Technology	-12.5
FSLR	FIRST SOLAR INC	$105.32	$7,688,142,000	Energy	-12.4
SLGN	SILGAN HOLDINGS	$52.11	$2,014,697,000	Industrial	-12.4
ESV	ENSCO INTL	$57.80	$8,520,696,000	Energy	-12.3
ABK	AMBAC FINL GROUP	$67.00	$6,829,180,000	Financial	-12
GWW	WW GRAINGER INC	$86.85	$7,329,461,000	Consumer, Cyclical	-11.8
MAT	MATTEL INC	$23.43	$9,229,407,000	Consumer, Cyclical	-11.7
MHK	MOHAWK INDS	$88.28	$6,025,866,000	Consumer, Cyclical	-11.6
SVU	SUPERVALU INC	$42.09	$8,958,753,000	Consumer, Non-cyclical	-11.2
BJS	BJ SERVICES CO	$25.16	$7,380,297,000	Energy	-11.1
ASBC	ASSOC BANC-CORP	$29.18	$3,703,737,000	Financial	-10.9
RHI	ROBERT HALF INTL	$33.60	$5,508,255,000	Consumer, Non-cyclical	-10.7
LNCR	LINCARE HOLDINGS	$35.82	$3,003,135,000	Consumer, Non-cyclical	-10.5
ESI	ITT EDUCATIONAL	$104.35	$4,212,246,000	Consumer, Non-cyclical	-10
AKS	AK STEEL HLDG	$34.88	$3,887,842,000	Basic Materials	-9.7
BER	WR BERKLEY CORP	$27.98	$5,239,809,000	Financial	-9.5
HERO	HERCULES OFFSHOR	$27.11	$2,408,954,000	Energy	-8.5
TIN	TEMPLE-INLAND	$57.36	$6,078,721,000	Basic Materials	-8.2
Source: Bloomberg

Scouting Out Value: Small-Caps
Ticker	Company	Price	Market Cap	Industry	% Change since Earnings
IVAC	INTEVAC INC	$14.57	$299,516,300	Industrial	-28.1
BOW	BOWATER INC	$16.90	$991,518,700	Basic Materials	-25.3
WSBC	WESBANCO INC	$21.91	$449,399,900	Financial	-24.7
CENX	CENTURY ALUMINUM	$45.59	$1,853,128,000	Basic Materials	-24.5
CTBK	CITY BANK LYNWOO	$24.91	$376,832,400	Financial	-22.3
CVTX	CV THERAPEUTICS	$8.70	$526,666,700	Consumer, Non-cyclical	-21.6
MMR	MCMORAN EXPLORAT	$14.10	$480,119,000	Energy	-20.6
KFN	KKR FINANCIAL HO	$20.13	$1,615,615,000	Financial	-19.7
LOOP	LOOPNET INC	$18.70	$729,918,500	Communications	-18.6
GKK	GRAMERCY CAPITAL	$21.67	$558,768,300	Financial	-18.6
EZPW	EZCORP INC-A	$11.29	$435,705,700	Consumer, Cyclical	-17.6
RKT	ROCK-TENN CO-A	$27.54	$1,080,056,000	Basic Materials	-17.3
AMFI	AMCORE FINANCIAL	$23.60	$531,102,700	Financial	-16.8
GLYT	GENLYTE GRP INC	$65.85	$1,910,325,000	Industrial	-16.4
MDCO	MEDICINES COMP	$15.01	$795,012,500	Consumer, Non-cyclical	-15.7
SPSN	SPANSION INC-A	$9.68	$1,290,811,000	Technology	-15.3
TASR	TASER INTL	$14.35	$904,432,400	Industrial	-15
HUBG	HUB GROUP-A	$31.69	$1,257,358,000	Industrial	-14.9
WIRE	ENCORE WIRE	$26.17	$588,035,000	Industrial	-14.9
CNS	COHEN & STEERS	$31.92	$1,270,962,000	Financial	-14.8
ATMI	ATMI INC	$28.45	$984,832,900	Technology	-14.8
PNFP	PINNACLE FINL	$22.40	$378,104,600	Financial	-14.8
VNDA	VANDA PHARMACEUT	$15.87	$425,267,800	Consumer, Non-cyclical	-14.2
RRR	RSC HOLDINGS INC	$19.02	$1,941,238,000	Consumer, Non-cyclical	-13.9
PNX	PHOENIX COS	$12.52	$1,414,938,000	Financial	-13.6
RIV	RIVIERA HOLDINGS	$26.01	$327,921,400	Consumer, Cyclical	-13.4
MTSN	MATTSON TECH	$9.60	$505,645,700	Technology	-12.9
CORS	CORUS BANKSHARES	$14.85	$818,986,600	Financial	-12.7
LAB	LABRANCHE & CO	$5.81	$376,819,100	Financial	-12.1
WHQ	W-H ENERGY SVCS	$56.34	$1,819,866,000	Energy	-11.5
LRW	LABOR READY INC	$21.34	$976,736,100	Consumer, Non-cyclical	-11
YRCW	YRC WORLDWIDE IN	$31.85	$1,817,716,000	Industrial	-10.2
ORB	ORBITAL SCIENCES	$20.37	$1,216,402,000	Industrial	-10.2
MNI	MCCLATCHY CO-A	$22.85	$1,937,426,000	Communications	-10.1
ZNT	ZENITH NATL INS	$40.83	$1,524,854,000	Financial	-9.9
ELS	EQUITY LIFESTYLE	$46.57	$1,140,450,000	Financial	-9.9
BBBB	BLACKBOARD INC	$38.64	$1,119,499,000	Technology	-9.8
WGOV	WOODWARD GOVERNR	$55.20	$1,979,866,000	Industrial	-9.6
AIR	AAR CORP	$29.17	$1,162,972,000	Industrial	-9.6
ESIO	ELECTRO SCI INDS	$20.86	$618,308,000	Industrial	-9.5
EDU	NEW ORIENTAL-ADR	$50.37	$1,890,183,000	Consumer, Non-cyclical	-8.7
CHTT	CHATTEM INC	$59.35	$1,171,338,000	Consumer, Non-cyclical	-8.5
CAVM	CAVIUM NETWORKS	$23.04	$941,172,200	Technology	-8.4
Source: Bloomberg