P/E “Attention” Strategies Earn Monthly Excess Return of 1%!
Rankings of Published Pricing-earnings Ratios and Investor Attention Jordan Moore A version of the paper can be found here. Want a summary of academic papers with [...]
Eureka! A Valuation-Based Asset Allocation Strategy that Might Work
We've had a few posts showing that asset allocation systems relying on market valuation indicators (e.g., Shiller CAPE ratios) as a timing signal may end up [...]
Book Review: Cracking the Emerging Markets Enigma by Andrew Karolyi
A recent IMF World Economic Outlook survey projected that in 2015-2016 advanced economies will grow at 2%-2.5% rate, while emerging and developing markets are growing [...]
Daily Academic Alpha: Fresh Evidence on the Fama French 5-Factor Model
The past few weeks we've highlighted a set of research papers that go back and forth on the validity of the Fama and French "5-factor [...]
Daily Academic Alpha: Analyzing the Effects of Long-Term vs. Short-Term Investors
Through the traditional lens of the efficient market hypothesis, market prices stick close to their fundamental values because professional investors with large amounts of capital [...]
A Live Lesson in Value-Investing: The Energy Meltdown
We sat down and did a quick and dirty analysis of the S&P sector ETFs on a YTD basis and over the past 2 months. [...]
Ben Carlson on Active Investing, Value Investing, and Garage Sales
Yesterday we posted a review on Ben's new book, A Wealth of Common Sense. We reached out to Ben and conducted a follow up Q&A. [...]
Dear Adam Nash: God Called…He Wants his Soap Box Back
Wealthfront's CEO recently posted a hard-hitting blast against Betterment. The core argument was against Betterment's fees charged to small accounts ($3 / month for accounts with less [...]
Book Review: A Wealth of Common Sense by Ben Carlson
Ben Carlson splashed onto the blog scene a few years ago with his hit website, aptly named, "A Wealth of Common Sense." My initial reaction was, "Oh [...]
Value Investing Research: O-Score and Distress Risk
Book-to-Market Equity, Distress Risk, and Stock Returns, by Griffin and Lemmon (2002 Journal of Finance) investigate the relationship between value premiums and distress risk. There [...]
The First Academic Paper with a Shotgun Picture in it
Here is one of the figures in a Journal of Finance paper published in 2013 by N. Garleanu and L Pedersen. The figure depicts various [...]
Long/Short Hedge Fund Factors: Low-Cost Downside Protection?
The holy grail of financial markets is finding strategies that have misaligned risk and reward characteristics. In the traditional view, investors try to do the [...]
Charlie Munger on “Loading Up,” Tracking Error, and Value Investing
Back in 1994, Charlie Munger gave a talk to students at the USC Business School (a copy is here), covering topics ranging from mathematics and [...]
Chinese Stock Market — Full Meltdown Approaching?
Last night, China's principal benchmark, the Shanghai Composite index, collapsed 7.4%. Ouch! Now that's what we call a drawdown! Hundreds of stocks hit their daily [...]
How to Make Money in Markets: Understanding Expectation Errors
A new working paper from Gennaili, Ma, and the one-the-only Andrei Shleifer. Expectations and Investment Using micro data from Duke University quarterly survey of Chief [...]
One Secret to More Creative Thinking? The Effect of Walking
Researchers at Stanford recently conducted a study that found that the physical act of walking improved creative thinking in subjects. We believe creative thinking is an [...]
Surprise: Some Active Managers are Skilled.
Jonathan Berk, and his co-author Jules van Binsbergen, have a summary piece on a formal academic paper they published by the JFE in 2014. Here [...]
Daily Academic Alpha: Corporate Loan Momentum Alpha
The Cross-Section of Expected Returns in the Secondary Corporate Loan Market We examine the pricing of characteristics and betas in the cross-section of expected corporate [...]
High Dividend Stocks and Value Investing
Barron's recently ran an article (written by Research Affiliates), which is titled "Get Smart About Picking Dividend-Rich Stocks." The article highlights that high-quality high-dividend-paying stocks outperform [...]
The “hot hand” in basketball. New evidence!
For years, the "hot hand" in basketball has been declared a "fallacy." To be clear, the "hot hand" argument is that basketball players have streaks, where [...]