How Portfolio Construction Affects Value Funds
Value investing is an investment philosophy that has been extensively discussed and examined at least since the days of Ben Graham, who popularized it as [...]
Does Buffett Have Lessons for Systematic Value Investors?
We are fundamentals-based value investors, just like Warren and Charlie, but have chosen to pursue the art of value investing in a slightly different way [...]
Update on the Valuation Metric Horserace: 2011-2015
Jack and I published, "Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years," in the 2012 Journal of Portfolio Management. Here is a [...]
Recreating Asset Bubbles in the Laboratory
Are we in a bubble? It depends on what asset class you’re referring to, whom you ask, and what you mean by “bubble.” We’ve posted [...]
Why Investors Should Combine Value and Momentum Investing Strategies
In the past we have discussed how to combine value and momentum investing strategies to improve an equity allocation. In this piece we discuss why an investor should combine value [...]
Has the Value Investing Pain Train Ended?
Last year we highlighted what we deemed the "value investing pain train." In 2015, cheap high-quality stocks started getting crushed by expensive junk stocks. Here is a [...]
Replicating Private Equity: the Impact of Return Smoothing
Having spent what seems like a lifetime in the financial industry at this point, I've always had this nagging suspicion about private equity (PE): private equity [...]
Dual Momentum on Individual Stocks. Wow.
Hot off the press and haven't had time to reverse engineer and verify, but this is pretty interesting stuff at first glance. The Enduring Effect [...]
Media Coverage and Stock Returns
Ninety Years of Media Coverage and the Cross-Section of Stock Returns Hillert and Ungeheuer A version of the paper can be found here. Want a summary [...]
Is Price Momentum a Brother From Another Mother?
Fundamentally, Momentum is Fundamental Momentum Robert Novy-Marx A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Value Investing: Accruals, Cash Flows, and Operating Profitability
Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns Ball, Gerakos, Linnainmaa and Nikolaev A version of the paper can be [...]
Interest Rates, Tax-Selling, and Stock Return Seasonality
Stock prices under pressure: How tax and interest rates drive seasonal variation in expected returns Kang, Pekkala, and et al. A version of the paper [...]
‘Tis the Season for strange effects in the stock market.
The efficient market hypothesis suggests that stock prices are always “right” in the sense that stock prices reflect all available information. Of course, during tax [...]
Value Investing Requires Patience…a LOT of Patience–Ask Cliff Asness
Value investing was a lot easier in 2012 and 2013 when our value approach beat the market by a substantial margin and we had a reasonable [...]
Expanding the Efficient Frontier with Value and Momentum Strategies
Awww...modern portfolio theory...that feel-good construct I teach to all of my graduate-level finance students each year. Simply input 1) a vector of expected returns and [...]
The Quantitative Momentum Investing Philosophy
Eugene Fama, the 2014 co-recipient of the Nobel Prize in Economics and father of the efficient market hypothesis, and his equally well-credentialed co-author, Ken French, [...]
Momentum Investing: Why Does Seasonality Matter for Momentum?
Causes and Seasonality of Momentum Profits Richard Sias A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
International Evidence for our favorite Value metric: Enterprise Multiples
The Enterprise Multiple Investment Strategy: International Evidence Walkshäusl and Lobe A version of the paper can be found here. Want a summary of academic papers with [...]
Frog in the Pan: Identifying the Highest Quality Momentum Stocks
Frog in the Pan: Continuous Information and Momentum Da, Gurun and Warachka A version of the paper can be found here. Want a summary of academic [...]
Beware of the Value Investing Return Gap
Jason Hsu of Research Affiliates has some easily accessible research on the so-called investor return gap (we refer to this as the Behavioral Investor Gap and have [...]