Timing Value and Momentum with Valuation-Spreads
We were recently passed along an article suggesting that valuation spreads, or the spread in a valuation metric across the most expensive and least expensive stocks, matters [...]
Market Valuations based on CAPE–A Deeper Dive
We have discussed market valuations in the past, but the issue of market valuations was recently raised on CNBC, when Robert Shiller suggested he may shift out [...]
The Wrong Way to Pick Value Investing Funds
US News laundry lists their top 10 "Value Investing Funds," or Value Investing ETFs, in their recent article: http://money.usnews.com/funds/etfs/rankings/value-funds The criteria (and weighting) for selecting so-called [...]
Overnight Momentum vs. Intraday Momentum
A Tug of War: Overnight Versus Intraday Expected Returns Lou, Polk and Skouras A version of the paper can be found here. Want a summary of [...]
Where are the Cheap Firms Internationally?
Last week, Wes had a short post entitled, Where are the Cheap Firms? The post showed that when we look at the cheapest stocks in [...]
Quantitative Momentum Research: Price and Earnings Momentum
Momentum Strategies Chan, Jegadeesh and Lakonishok A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
Where are the Cheap Firms?
Energy (mostly oil-related) and consumer discretionary (brick & mortar retailers). Cheap--or at least relatively cheap--based on enterprise multiples.
Weekend Geekout: The History of Low Volatility Investing
Eric Falkenstein is an economist, with a PhD in economics, a quantitative geek, and a book writer. In his blog, Falkenblog, there are voluminous mind-blowing articles since [...]
Why Indexing and “Smart Beta” Are So Popular
Asset Manager Contracts and Equilibrium Prices Buffa, Vayanos, and Woolley (2014) A version of the paper can be found here. Want a summary of academic papers [...]
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 [...]
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 [...]
Value Investing: 2014 Value Stock Research Recap
The success and failure of value investing can be boiled down into two components: Buy Cheap Stuff Avoid Behavioral Bias Buy Cheap Stuff Ben Graham outlined [...]
How to Calculate Volatility in Excel
Wild-swinging oil prices have caused some chaos, or "volatility," in the financial markets recently. We've also heard a lot in the financial media regarding the [...]
Value Investing: Digging Manager Graveyards Since 1963.
Following value strategies can be hazardous to one's wealth in the short run. Oil stocks are a great example of the challenge value investors face: The stocks [...]
Oil Stocks: A Real-Time Case Study in Value Investing
I just took a snapshot of the front page of Yahoo Finance, CNBC.com, and Bloomberg.com: Bloomberg.com @ 1725 EST CNBC.com @ 1725 [...]
Quant Value $19.99 Book Deal is Over
Wow. We blew out 300+ books in a few weeks. There are a lot more quant geeks out there than I originally suspected. Holy mackerel! [...]
Chatting Quant Value @ Wharton Today–Business Radio
http://businessradio.wharton.upenn.edu/programs/behind-the-markets-with-jeremy-siegel/ I'll be chatting with the "Jeremys" on Sirius Radio on Business Radio Channel 111. @ 1pm EST Hosts Jeremy Siegel Professor Jeremy Siegel is [...]
Mission Impossible: Beating the Market Forever
A quick glance at the most recent Berkshire Hathaway annual report (PDF) highlights an amazing data point: Warren Buffett has compounded at 19.7% a year from 1965 through 2013; the S&P 500 Total Return Index has compounded at 9.8% a year from 1965 through 2013. The immediate reaction to these figures is predictable: “Warren Buffett is an investing god, so we should buy Berkshire Hathaway and throw away the keys.” The gut reaction is that Buffett can continue to beat the market forever. Unfortunately, as this post highlights, this is an impossible feat.
Quantitative Value Research: NCAV/MV Factor
Testing Benjamin Graham's Net Current Asset Value Strategy in London Xiao and Arnold A version of the paper can be found here. Want a summary of [...]