Do Cash-Adjusted P/E Ratios Work?
A guest speaker in my lecture last week mentioned something interesting: Apple looks like a growth stock on a P/E basis, but when you strip [...]
Valueinvestorsclub.com Performance Update
If you are unfamiliar with Valueinvestorsclub.com and you call yourself a "value investor," you've been missing out on the greatest value communities of all time. [...]
Dissecting Net-Net Returns over the past 6-months
Paul Sepulveda has an interesting guest post for us today. Paul dissects the recent performance of net-nets and identifies some interesting tidbits. Below I have [...]
Are stock pickers better than Computers?
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: [...]
Magic score: Long-Term vs. Short-Term
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 [...]
Magic Formula and MA Rules: A Bad Combo!
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 [...]
Shorting the Magic Formula
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 [...]
Thinking in terms of “Shareholder Yields” – Notes from the Underground
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 [...]
How to use the Fama French Model
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: [...]
Magic Formula and Small Caps–The Missing Link?
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 [...]
More Magic Formula Analysis
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 [...]
How “Magic” is Magic Formula Investing?
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 [...]
The Ultimate Short Book.
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 [...]
Ben Graham Trading Rules Backtest
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 [...]
Backtesting Ben Graham
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 [...]
Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers
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
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). [...]