Valuation Spreads Over Time: A Unique Market Timing Signal?
The blogosphere is spammed with commentary related to the current high market valuations and the inevitable crash that "must" ensue. We've even been involved in [...]
A Surprising Way to time Value and Momentum: Updated Analysis
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns K Oversby A version of the paper can be found here. Want a summary of academic papers with [...]
Interesting Tactical Asset Allocation Tool: Value portfolios
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns Kevin Oversby A version of the paper can be found here. Want a summary of academic papers with [...]
Attention Prop Traders: The first half hour of trading predicts the last half hour…
Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return Gao, Han, and Zhou A version of the paper can be found here. Want a [...]
The Remarkable Truth about 52-Week High Stocks
Pop quiz: A stock you own just hit a 52-week high... Does it make you nervous? On Wall Street, there are many highly publicized metrics that [...]
Value investing: Can you withstand the pain?
So the market took a tumble today--Feeling pain? Feeling emotional? Expecting the downward trend to continue? Be careful, your system 1 is terrorizing your ability [...]
Momentum Investing: Ride Winners and Cut Losers. Period.
Momentum has historically been a great strategy. Although counter-intuitive to many value investors, buying stocks with rising prices has been a great investment approach--arguably better than value investing. Moreover, the approach is robust between the 2 samples analyzed. The lesson is clear: Let your winners ride and cut your losers short.
Timing the Market with Mean Reversion Indicators
Mean Reversion, Momentum and Return Predictability Huang, Jiang, Tu, Zhou A version of the paper can be found here. Want a summary of academic papers with [...]
Does the Small-cap “size” effect exist? Probably.
The traditional small-minus-big value-adjusted long/short factor (SMB) developed by Gene Fama and Ken French has arguably added NO value over time. Performance over the past 30 years [...]
Value Investing: Never Buy Expensive Stocks. Period.
We did a recent internal simulation study on the performance of cheap and expensive stocks based on a variety of valuation metrics. We looked at [...]
Gross Profits isn’t a Silver Bullet for Valuation Measurement!
Deflating Profitability Ball, Gerakos, Linnainmaa, and NikolaevA version of the paper can be found here.Want a summary of academic papers with alpha? Check out our Academic Research [...]
Shareholder Yield: Do longer-term calculations enhance performance?
Wes and I have a recent paper (found here) which examines a more complete measure of shareholder yield (dividends, net stock repurchases, and debt reduction). Here [...]
Can Market Valuations Be Effective Market-Timing Signals?
We know that valuation metrics such as the CAPE, or Shiller P/E, ratio are correlated with long-term returns (notice we didn't say "predict" long-term returns--that is [...]
Low Short Interest Dominates Low Vol Strategies
The Long and Short of the Vol Anomaly Jordan and Riley A version of the paper can be found here. Want a summary of academic papers [...]
Global Market Valuations based on EBIT/TEV
We ran some numbers on the large liquid universe of stocks (>2B USD) traded in EAFE countries. In total there are 1086 names in the [...]
Betting Against Beta or Demand for Lottery?
Betting Against Beta or Demand for Lottery Bali, Brown, Murray, and Tang A version of the paper can be found here. Want a summary of academic [...]
Post Earnings Announcement Drift and Value/Growth Anomaly
When Two Anomalies Meet: The Post – Earnings Announcement Drift and the Value – Glamour Anomaly Yan and Zhao A version of the paper can [...]
Has Momentum Been “Arbed” Away?
Momentum Has Not Been 'Overgrazed': A Visual Overview in 10 Slides Claude B. Erb A version of the paper can be found here. Want a summary [...]
Growth Beats Value…but with a lot of help!
When Growth Beats Value: Removing Tail Risk From Global Equity Momentum Strategies Clare, Seaton, Smith, and Thomas A version of the paper can be found here. [...]
P/E Performance in Australia and New Zealand
The Predictive Ability of P/E Ratio: Evidence from Australia and New Zealand Basu and O'Shea A version of the paper can be found here. Want a [...]