Empiritrage has a detailed research piece on the question of whether or not quantitative value can beat fundamental stock-pickers. http://empiritrage.com/2012/03/24/man-vs-machine-quantitative-value-or-fundamental-value/ Here are a few highlights: [...]
Wow, Turnkey Analyst and I have been buried at Turnkey Analyst working on a variety of research projects and hanging out with our families over [...]
Security Analysis, by Graham and Dodd, is a classic text on value investing. We love it. And despite our outward "quant" appearance, everything thing we [...]
Recently, I've been investigating various risk management systems. A lot of the work we've done is beyond the scope of the blog and/or is related [...]
Last week we discussed the possibility that "momentum is finished." Astute readers of the blog generally agreed with the concept, but also pointed out that [...]
CXO Advisory highlights an interesting paper with the tagline: "Momentum Not Working?" Here's the link: http://www.cxoadvisory.com/subscription-options/?wlfrom=%2F17440%2Fmomentum-investing%2Fmomentum-not-working%2F Here is the link to the source: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1951137 This [...]
I just got back from the Value Investing Congress--http://www.valueinvestingcongress.com/. The event was exceptional and very thought-provoking. While Einhorn's annihilation of Green Mountain Coffee was impressive [...]
I recall that during my first job on Wall Street, my boss had me generate a page of “comps,” or comparable companies with summary statistics [...]
The CAPM is prolific, but doesn't appear to work! In this blog, we discuss our views on how to use the Fama French model. (Note: [...]
Ed Altman is simply a legend. Everyone in finance is familiar with the Altman Z-Score and many analysts use it religiously--despite the fact there has [...]
A reader recently commented in response to our study on the Magic Formula, which questions the 31% CAGR performance of the strategy over the 1988--2004 [...]
As a professor by day, I spend a lot of time doing research and studying financial data. Recently, my research assistant and I have been [...]
The underlying concept of magic formula investing is a genius marketing platform, but it is unclear how "magic" the formula actually is--examine 'cheapness,' examine 'quality,' combine [...]
Identifying Overvalued Equity Messod Beneish and Craig Nichols A version of the paper can be found here. Live implementation data can be found at Empirical Finance [...]
Our recent Ben Graham post generated a lot of interest and a LOT of emails. One of the more interesting questions asked was, "How does [...]
Charles Mizrahi, over at http://www.hiddenvaluesalert.com/, suggested we backtest a simple Ben Graham strategy mentioned in a 1976 article he dug up in Medical Economics. Charles has been [...]
Discussion: In the academic literature, the highest book-to-market portfolio (value portfolio) has created controversy. On one hand, efficient market theorists believe the "value portfolio" outperforms the market because the portfolio is fundamentally riskier than the broader market. A pile of academic evidence suggests that this "market efficiency" hypothesis is correct.
The Other Side of Value Robert Novy-Marx A version of the paper can be found here. (sorry, I couldn't find a free link to the source paper). [...]
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