Does Benchmarking Affect Asset Prices?
The FT has a great piece called the "Risk-Return relationship has been upended." The premise is that benchmarking distorts markets. The article inspired me to [...]
Stock Anomaly Smorgasbord–Wow!
Digesting Anomalies: An Investment Approach Hou, Xue, and Zhang A version of the paper can be found here Want a summary of academic papers with [...]
Mind the Gap: A Way to Enhance Momentum Profits
The Momentum Gap and Return Predictability Simon Huang A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
Face-ripping Drawdowns and the Magic Formula
Due to a surge of interest from our "Long Cheap; Short Expensive. Buyer Beware" post, we decided to analyze the impact of changing the net exposure of the Magic [...]
Quantitative Value Research: Weighted P/E Bracket
Decomposing the Price-Earning Ratio Anderson and Brooks A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Long Cheap; Short Expensive. Buyer Beware.
A recent New York Times article examines the story of Joel Greenblatt, author of "The Little Books That Beats the Market." Joel has leveraged this book [...]
Predicting Bonds with Stock Characteristics
Is the Cross-Section of Expected Bond Returns Influenced by Equity Return Predictors? Chordia, Goyal, Nozawa, Subrahmanyam and Tong A version of the paper can be [...]
Quantitative Value Research: A Summary of Various Value Metrics!
Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years Gray and Vogel A version of the paper can be found here and here. Want a [...]
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 [...]