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). [...]