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 [...]
Neuroeconomics Post! The Endocrine System and Shifting Risk Preferences
The Chinese philosopher Sun Tzu counseled us to "know thine enemy." At Alpha Architect we are always curious about anything that affects our financial decision making, [...]
Real-Time Market Efficiency
Market Efficiency in Real-Time Jeffrey Busse and Clifton Green A recent version of the paper can be found here. Abstract: The Morning Call and Midday Call [...]
Academic Alpha vs. Practical Alpha
WARNING: After reading this you will no longer believe money grows on trees. I love working on this blog--great outlet to discuss cool research, share [...]
Debunking Semi-Strong Market Efficiency
Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar Gur huberman and Tomer RegevA recent version of the paper can [...]
The Shiller P/E Ratio
Robert J. Shiller, an American academic, made waves in the economic community when he correctly anticipated the sharp decline in equities in 2000 in his [...]
Screen Backtest during the 2008 debacle
Turnkey Analyst showed me a very interesting article from ZeroHedge this morning: http://www.zerohedge.com/news/some-fun-analogies-rhyming-history-and-repeating-futures The main point of the article? History almost repeated itself! Oct [...]
Dividends can pay–without paying!
The Dividend Month Premium Sam Hartzmark and David Solomon A recent version of the paper can be found here. Abstract: We document that companies have [...]
Evolution and the Overconfidence Phenomenon
Many have questioned why overconfidence might exist in human populations when it can lead to suboptimal outcomes such as wars or, say, financial collapse. Common [...]
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 [...]
Socrates Would Have Been a Quant
The Greek philosopher Socrates walked the streets of Athens in a dirty cloak, talking with people throughout the city, and sources differ as to whether [...]
R&D to your portfolio’s rescue!
The Stock Market Valuation of Research and Development Expenditures Louis Chan, Josef Lakonishok, and Theodore Sougiannis A recent version of the paper can be found [...]
Decision Fatigue
All of us are faced every day with a myriad of choices, but if you’re like me, you don’t spend much time thinking about how [...]
Mr. Market and Joe Pesci
We here at Turnkey Analyst are big fans of Ben Graham, and are stalwart believers in the enduring relevance of Graham’s famous character, Mr. Market, [...]
The Accrual Anomaly For Dummies
One of the subtler screens offered at Turnkey Analyst is the Percent Accruals screen. For an excellent review of the “Accrual Anomaly,” take a look at [...]
Why Growth Stocks are Awesome
Sometimes its nice to reflect on some of the more esoteric articles being published in academic finance journals--good way to assess exactly how disconnected from [...]
Who is Swimming Naked? Typically the Stock-Pickers…
Now that the tide is leaving the shore, it's a great time to reflect on manager performance and the most elaborate casino on earth--the stock [...]
Market Chaos Review
Meb has some great analytics and perspective on the recent turmoil in the markets: http://www.mebanefaber.com/2011/08/04/gaining-some-perspective/ Meb's post inspired me to churn out some quick research. [...]
Corporate Governance Brain Drain
I'd like to welcome a new contributor to the Alpha Architect blog -- Jack Vogel. Jack is currently a PhD student in finance at Drexel [...]
A Better Buyback Strategy
Repurchases, Reputation, and Returns Alice Bonaime A recent version of the paper can be found here. Abstract: This paper examines whether a firm’s reputation is [...]