Ben Carlson on Active Investing, Value Investing, and Garage Sales
Yesterday we posted a review on Ben's new book, A Wealth of Common Sense. We reached out to Ben and conducted a follow up Q&A. [...]
Value Investing Research: O-Score and Distress Risk
Book-to-Market Equity, Distress Risk, and Stock Returns, by Griffin and Lemmon (2002 Journal of Finance) investigate the relationship between value premiums and distress risk. There [...]
How to Make Money in Markets: Understanding Expectation Errors
A new working paper from Gennaili, Ma, and the one-the-only Andrei Shleifer. Expectations and Investment Using micro data from Duke University quarterly survey of Chief [...]
High Dividend Stocks and Value Investing
Barron's recently ran an article (written by Research Affiliates), which is titled "Get Smart About Picking Dividend-Rich Stocks." The article highlights that high-quality high-dividend-paying stocks outperform [...]
Using Profitability as a Factor? Perhaps You Should Think Twice…
Many investors are getting excited about the so-called "profitability factor," originally posed by Novy-Marx (here is an alternative story) . Larry Swedroe has a high-level piece [...]
Value Investing in a Honda Civic–and proud of it…
Last week I had the privilege of being on CNBC to talk about value investing. A big shout out to Josh Brown, who introduced me [...]
Book Review – Competition Demystified: a Radically Simplified Approach to Business Strategy
We've spent a lot of time these days thinking about how to identify economic moat, or a firm's ability to defend against competitive forces in [...]
Momentum Investing: Skewness-enhanced Momentum Yields Double Alpha
Expected Skewness and Momentum Jacobs, Regele and Weber A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
Value Investing Research: Simple Methods to Improve the Piotroski F-Score
Executive Summary In this article, we identify how we can improve the performance of the F-Score and enhance a generic value investing approach. In a [...]
Is Passive Perfect? High Active Share Long-Term Investing Works Better
Patient Capital Outperformance Cremers and Pareek A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
International Value Investing: Looks Like a Reasonable Bet
A Value Investing Premium, Everywhere? A rich body of literature has shown that value investing, or buying stocks that are "cheap" based on a variety of valuation [...]
The Most Important Decision When Selecting a Value Investing Fund
The Best Investment with the Worst Performance We are huge believers in value investing. I personally started off as a fundamental value guy, spending twenty-plus [...]
Momentum Investing: A Simple Bond Momentum Strategy
Quick Summary For a bond momentum strategy, it makes sense to select the top 3 or top 6 funds.The starting universe matters.One must consider the taxes and [...]
Are Value Investing and Momentum Investing Robust Anomalies?
Beating a Dead Horse: Value investing and momentum investing work At this stage in our lives we've essentially memorized the CRSP/Compustat database. Name an anomaly and [...]
Attention Value Investors: How to Predict Accounting Trickery
Predicting Material Accounting Misstatements Dechow, Ge, Larson and Sloan A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Tactical Asset Allocation with Market Valuations: Magic of Myth?
Executive Summary Although it has been very difficult to overcome our initial skepticism, we've finally accepted the notion that simple technical analysis may serve as [...]
Tactical Asset Allocation and Low Volatility Stocks
Investing in strategies that exploit the low volatility anomaly have grown in popularity in recent years. While low volatility based strategies may or may not [...]
Absolute Momentum and Stock Momentum Strategies: Friends, not enemies
There is sometimes confusion associated with so-called "momentum" strategies--we want to clear the muddy waters. We break momentum into two categories to differentiate between the different [...]
How to Combine Value and Momentum Investing Strategies
The evidence suggests that we keep highly active exposures to value and momentum in their purest forms (assuming we are doing high-conviction non-watered down versions of the anomalies). Blending the strategy dilutes the benefit of value and momentum portfolios. The summary of the benefits of a pure value and a pure momentum approach can be summarized as follows: Easier ex-post assessment, stronger portfolio diversification benefits, and stronger expected performance.
Momentum Research: Main Embarrassment of the FF 3-Factor Model
Multifactor Explanations of Asset Pricing Anomalies Fama and French (1996) A version of the paper can be found here. Want a summary of academic papers with [...]