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 [...]
How to use the Fama French Model
The CAPM is prolific, but doesn't appear to work! In this blog, we discuss our views on how to use the Fama French model. (Note: [...]
Stop Using the Altman-Z Score.
Ed Altman is simply a legend. Everyone in finance is familiar with the Altman Z-Score and many analysts use it religiously--despite the fact there has [...]
Juicing up the Accrual Anomaly
Percent Accruals Nader Hafzalla, Russell Lundholm, and Matt Van Winkle A version of the paper can be found here. Abstract: We document how the effectiveness [...]
Magic Formula and Small Caps–The Missing Link?
A reader recently commented in response to our study on the Magic Formula, which questions the 31% CAGR performance of the strategy over the 1988--2004 [...]
Taxes are more important than alpha.
Paying taxes is my least favorite topic. Figuring out how to not pay taxes is my favorite topic. Before I continue, if you want to read [...]
Mission Impossible: beating the market over long periods of time
I've been thinking about "extreme" returns recently. After all, who wouldn't mind earning a few extra bucks in the stock market? We all hear about [...]
Textual Analysis and Trading Strategies
When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks. Tim Loughran and Bill McDonald A published version of the paper can be [...]
More Magic Formula Analysis
As a professor by day, I spend a lot of time doing research and studying financial data. Recently, my research assistant and I have been [...]
Follow the Short-Sell Demand
Supply and Demand Shifts in the Shorting Market Lauren Cohen, Karl B. Diether and Chirstopher J. Malloy A version of the paper can be found [...]