Quantitative Momentum Research: Short-Term Return Reversal
Fads, Martingales, and Market Efficiency Lehmann A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
About Jack Vogel, PhD
Jack Vogel, Ph.D., conducts research in empirical asset pricing and behavioral finance, and is a co-author of DIY FINANCIAL ADVISOR: A Simple Solution to Build and Protect Your Wealth. His dissertation investigates how behavioral biases affect the value anomaly. His academic background includes experience as an instructor and research assistant at Drexel University in both the Finance and Mathematics departments, as well as a Finance instructor at Villanova University. Dr. Vogel is currently a Managing Member of Alpha Architect, LLC, an SEC-Registered Investment Advisor, where he heads the research department and serves as the Chief Financial Officer. He has a PhD in Finance and a MS in Mathematics from Drexel University, and graduated summa cum laude with a BS in Mathematics and Education from The University of Scranton.Quantitative Momentum Research: Long-Term Return Reversal
Does the Stock Market Overreact? De Bondt and Thaler A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Quantitative Momentum Research: Intermediate-Term Momentum
Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency Jegadeesh and Titman A version of the paper can be found here. Want a [...]
Sensational SEC Finding: Backtest gone bad!
The SEC landed a $35mm fine against F-squared yesterday! A quote from the the SEC filing: The inaccurate compilation of historical data substantially improved the [...]
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Stop Paying Attention to Your Brokerage Statements
The Worst, the Best, Ignoring All the Rest: The Rank Effect and Trading Behavior Hartzmark A version of the paper can be found here. Want a [...]
Thanksgiving Day NFL Gamblers–Take Notes!
Efficiency and the Disposition Effect in NFL Prediction Markets Hartzmark and Solomon A version of the paper can be found here. Want a summary of academic [...]
Housing market repeat?
I recently came across a few stories about "new" proposals by regulators. Here is the quote from Federal Housing Finance Agency Director Mel Watt: Additionally, Watt [...]
Face-ripping Drawdowns and the Magic Formula
Due to a surge of interest from our "Long Cheap; Short Expensive. Buyer Beware" post, we decided to analyze the impact of changing the net exposure of the Magic [...]
Long Cheap; Short Expensive. Buyer Beware.
A recent New York Times article examines the story of Joel Greenblatt, author of "The Little Books That Beats the Market." Joel has leveraged this book [...]
Attention Prop Traders: The first half hour of trading predicts the last half hour…
Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return Gao, Han, and Zhou A version of the paper can be found here. Want a [...]
Do Behavioral Biases affect PGA Tour players?
Is Tiger Woods Loss Averse? Persistent Bias in the Face of Experience, Competition, and High Stakes Pope and Schweitzer A version of the paper can [...]
Value investing: Can you withstand the pain?
So the market took a tumble today--Feeling pain? Feeling emotional? Expecting the downward trend to continue? Be careful, your system 1 is terrorizing your ability [...]
Is the Market Overvalued? Depends on How You Frame it…
People love to talk about the stock market. It's practically a law of human nature. What is the market telling us? Where is it going [...]
Biased Analysts Create Big Profits?
'Consistent' Earnings Surprises Hwang, Liu, and Lou A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Gross Profits isn’t a Silver Bullet for Valuation Measurement!
Deflating Profitability Ball, Gerakos, Linnainmaa, and NikolaevA version of the paper can be found here.Want a summary of academic papers with alpha? Check out our Academic Research [...]
Shareholder Yield: Do longer-term calculations enhance performance?
Wes and I have a recent paper (found here) which examines a more complete measure of shareholder yield (dividends, net stock repurchases, and debt reduction). Here [...]
World Cup results affect stock markets?
Sports Sentiment and Stock Returns Edmans, Garica, and Norli A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Low Short Interest Dominates Low Vol Strategies
The Long and Short of the Vol Anomaly Jordan and Riley A version of the paper can be found here. Want a summary of academic papers [...]
Betting Against Beta or Demand for Lottery?
Betting Against Beta or Demand for Lottery Bali, Brown, Murray, and Tang A version of the paper can be found here. Want a summary of academic [...]