Does the Small-cap “size” effect exist? Probably.
The traditional small-minus-big value-adjusted long/short factor (SMB) developed by Gene Fama and Ken French has arguably added NO value over time. Performance over the past 30 years [...]
Value Investing: Never Buy Expensive Stocks. Period.
We did a recent internal simulation study on the performance of cheap and expensive stocks based on a variety of valuation metrics. We looked at [...]
Recent Resarch on Predicting Bubbles
Fulcrum Asset Management has an interesting overview piece related to some recent research that attempts to predict bubbles: http://www.fulcrumasset.com/files/frn201401.pdf The source article is below: http://cowles.econ.yale.edu/P/cd/d19a/d1914.pdf [...]
Behavioral Bias Bingo: Decoy Effect
“When my information changes, I alter my conclusions. What do you do, sir?” - John Maynard Keynes How does the Decoy Effect work? Here is [...]
Own the Stock and Sell Calls: Guaranteed Win, Right?
Covered Calls and Their Unintended Reversal Bet Israelov and Nielsen A version of the paper can be found here. Want a summary of academic papers with [...]
Biased Analysts Create Big Profits?
'Consistent' Earnings Surprises Hwang, Liu, and Lou A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Gross Profits isn’t a Silver Bullet for Valuation Measurement!
Deflating Profitability Ball, Gerakos, Linnainmaa, and NikolaevA version of the paper can be found here.Want a summary of academic papers with alpha? Check out our Academic Research [...]
Behavioral Bias Bingo: Trophy Effect
Hard work ≠ Value "Imagine you play in a tennis tournament at your local club. As your opponents are of the same strength as you, [...]
Shareholder Yield: Do longer-term calculations enhance performance?
Wes and I have a recent paper (found here) which examines a more complete measure of shareholder yield (dividends, net stock repurchases, and debt reduction). Here [...]
Predicting Mental Defects: Does the Model or the Expert Win?
Clinical intuition and test scores as a basis for diagnosis Klehr, R. Journal of Consulting Psychology, 13, 34-38 An online version of the paper can [...]
Can Market Valuations Be Effective Market-Timing Signals?
We know that valuation metrics such as the CAPE, or Shiller P/E, ratio are correlated with long-term returns (notice we didn't say "predict" long-term returns--that is [...]
Profit from the Conference Call Participant List!
Analyst Interest as an Early Indicator of Firm Fundamental Changes and Stock Returns Jung, Wong, Zhang A version of the paper can be found here. Want [...]
World Cup results affect stock markets?
Sports Sentiment and Stock Returns Edmans, Garica, and Norli A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Behavioral Bias Bingo: Disposition Effect
Sell Winners Too Early and Hold Losers Too Long Researchers have explored the "disposition effect" for years, which describes how investors are more likely to sell [...]
Low Short Interest Dominates Low Vol Strategies
The Long and Short of the Vol Anomaly Jordan and Riley A version of the paper can be found here. Want a summary of academic papers [...]
Behavioral Bias Bingo: The Affect Heuristic
How do your feelings affect your decisions? "Humans perceive and act on risk in two fundamental ways. Risk as feelings refers to individuals' instinctive and [...]
Global Market Valuations based on EBIT/TEV
We ran some numbers on the large liquid universe of stocks (>2B USD) traded in EAFE countries. In total there are 1086 names in the [...]
Betting Against Beta or Demand for Lottery?
Betting Against Beta or Demand for Lottery Bali, Brown, Murray, and Tang A version of the paper can be found here. Want a summary of academic [...]
Do Hedge Funds Frontrun Mutual Funds?
Are Mutual Funds Sitting Ducks? S. Shive and H. Yun A version of the paper can be found here. Want a summary of academic papers with [...]
Post Earnings Announcement Drift and Value/Growth Anomaly
When Two Anomalies Meet: The Post – Earnings Announcement Drift and the Value – Glamour Anomaly Yan and Zhao A version of the paper can [...]