Is (systematic) Value Investing Dead? Ronen Israel, Kristoffer Laursen and Scott RichardsonWorking Paper, published at aqr.comA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]
Most of the time we make you "earn your education" by reading our posts to build up your knowledge of the latest and greatest academic research concepts. That said, we understand there are different ways [...]
Our friend Jonathan Regenstein, over at http://www.reproduciblefinance.com/, convinced me that using R would be a great way to build web applications that would help us fulfill our mission to empower investors through education. We are [...]
Flight to Quality and Asset Allocation in a Financial Crisis Terri Marsh and Paul PfleidererFinancial Analyst Journal, 2013A version of this paper can be found here or here.Want to read our summaries of academic finance papers? [...]
The world of withholding tax recovery on foreign dividends and interest is woven with intricacies, challenges, and a general lack of transparency. This is mainly due to its complexities and the cumbersome process involved in [...]
The field of behavioral finance provides us with fascinating insights into individual investor behavior, including how individuals view risk, as well as the impact of those views on asset prices. Prospect theory plays a major [...]
This week we discuss Ryan's article examining the Enterprise Multiple, EBIT/TEV, or Earnings Before Interest and Taxes (EBIT) divided by the firm's Total Enterprise Value (TEV). Article Links: What's the Story Behind EBIT/TEV [...]
BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500 Andrew Clare, James Seaton, Peter N. Smith, and Stephen ThomasWorking Paper, Cass Business School, London and University [...]
We recently covered a paper by David Blitz that highlighted the potential problems with passively investing in "active" strategies. The research piece is great and surfaces a lot of great concepts. Like a lot of [...]
Attention all finance geeks. The latest and greatest from academic researchers is available for all to review. The WFA recently released their sessions. WFA is one of the more prestigious academic conferences and papers presented [...]
Quantitative factor portfolios generally use historical company fundamental data in portfolio construction. The key assumption behind this approach is that past fundamentals proxy for elements of risk and/or systematic mispricing. However, what if we could [...]
Mark Kritzman and Yuanzhen LiFinancial Analyst Journal, 2010A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the Research Questions When hunting [...]
We've saw a spike in questions the last few days related to the various "value is really cheap posts" coming into the mainstream. This conversation was elevated after Cliff Asness posted the best piece of [...]
The lack of a statistically significant size premium in the U.S. since the publication of Rolf Banz’s 1981 paper, “The Relationship Between Return and Market Value of Common Stocks,” published in the Journal of Financial [...]
Tesla (TSLA) breached the $100 billion market capitalization in January 2020 and became the most valuable car manufacturer globally. However, valuing the company is challenging given the growth profile, complexity of the business, and erratic [...]
Are Passive Investing Techniques Efficient for Active Strategies? David BlitzJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]
A common question we receive at Alpha Architect is the following: Why do you focus on EBIT/TEV as a value screen for stocks instead of the more traditional measures such as book to price? In [...]
Richard D.F. Harris , Linh H. Nguyen and Evarist Stoja Journal of International Financial Markets, Institutions, and Money, 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
Similar to some better-known factors, such as size and value, time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. For the less familiar with trend following it's worth your time to review Alpha Architects white [...]
