Avoid CEOs that Golf like Tiger Woods
FORE! An analysis of CEO shirking Biggerstaff, Cicero and Puckett A version of the paper can be found here. Want a summary of academic papers with [...]
Digging into the Enterprise Multiple Value Factor
New Evidence on the Relation Between the Enterprise Multiple and Average Stock Returns Loughran and Wellman A version of the paper can be found here. (Also described [...]
Value investing backtests: Our analysis of 13 AAII Value Strategies
Having spent 15+ years conducting value investing backtests to find the holy grail of systematic value investing, I sometimes wonder the following: Is there any [...]
Harry Markowitz: An Equal-Weight Investor?
Jason Zweig's book, "Your Money and Your Brain" highlights an interesting conversation with Harry Markowitz. Dr. Markowitz is a Nobel Prize winner and his work [...]
Private Equity Performance: Give me the facts, man.
Private Equity Performance: What Do We Know? Harris, Jenkinson and Kaplan A version of the paper can be found here. Want a summary of academic papers [...]
Quantitative Value Research: Cyclically-adjusted B/M (CA-BM) Factor
On the Performance of Cyclically Adjusted Valuation Measures Gray and Vogel A version of the paper can be found here. Want a summary of academic papers [...]
The Fascinating Relationship Between Low Volatility and Value
A week ago, we posted an article that presented simulation performances of low-volatility strategies. The results illustrated that low-volatility portfolios do have higher returns and lower risks than [...]
Afraid of Market Risk? Stop. Be Afraid of Bias.
Stock markets have been sucking wind recently. S&P R2K When I listen to the nightly news or indulge in 30 seconds of CNBC during the day, [...]
CEO Indiscretions: Sex, Lies, and Firm Value
The Agency Costs of Managerial Indiscretions: Sex, Lies, and Firm Value Cline, Walkling, and Yore A version of the paper can be found here. Want a [...]
Low-Volatility Investing: Avoid High Beta Stocks. Period.
We've posted simulation and research-based studies on value and momentum. The evidence was pretty clear: never buy expensive stocks (Value) and ride winners and cut [...]
Shocking: CEOs Do Things for Personal Gain
Strategic News Releases in Equity Vesting Months Edmans, Pinto, Wang and Xu A version of the paper can be found here. Want a summary of academic [...]
Behavioral Bias Bingo — The Whimsical Cuteness Effect
"So Cute I Could Eat it Up": Priming Effects of Cute Products on Indulgent Consumption Nenkov and Scott A version of the paper can be [...]
The Quantitative Value Investing Philosophy
Benjamin Graham, who first established the idea of purchasing stocks at a discount to their intrinsic value more than 80 years ago, is known today as the father of value investing. Since Graham’s time, academic research has shown that low price to fundamentals stocks have historically outperformed the market. In the investing world, Graham’s most famous student, Warren Buffett, has inspired legions of investors to adopt the value philosophy. Despite the widespread knowledge that value investing generates higher returns over the long-haul, value-based strategies continue to outperform the market. How is this possible? The answer relates to a fundamental truth: human beings behave irrationally. We are influenced by an evolutionary history that preserved traits fitted for keeping us alive in the jungle, not for optimizing our portfolio decision-making ability. While we will never eliminate our subconscious biases, we can minimize their effects by employing quantitative tools.
How to calculate 3-factor (Fama-French) and 1-factor (CAPM) alpha
We've had a few questions related to 3-Factor Fama-French and 1-Factor (CAPM) alpha calculations recently (maybe it is midterm season?). Here is a deeper dive [...]
Quantitative Value Research: E/P or Size Effect?
Earnings Yields, Market Values, and Stock Returns Jaffe, Keim and Westerfield A version of the paper can be found here. Want a summary of academic papers [...]
Quantitative Value Research: Cyclically-adjusted P/E (CAPE) Factor
Stock Prices, Earnings, and Expected Dividends Campbell and Shiller A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Quantitative Value Research: Low P/E
For the next 30-60 days we'll be posting a recap research report on classic research related to quantitative value investing. This is the first part of the [...]
Interesting Finding: Professors aren’t Totally Useless!
Professors in the Boardroom and Their Impact on Corporate Governance and Firm Performance Bill Francis, Iftekhar Hasan, Qiang Wu A version of the paper can [...]
A New Take on SEC Comment Letters: Positive Drift!
Textual Classification of SEC Comment Letters James P. Ryans A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Behavioral Bias Bingo — False-Consensus Bias
I Believe...Why Don't You? To believe your own thought, to believe that what is true for you in your private heart, is true for all [...]