Discussion: In the academic literature, the highest book-to-market portfolio (value portfolio) has created controversy. On one hand, efficient market theorists believe the "value portfolio" outperforms the market because the portfolio is fundamentally riskier than the broader market. A pile of academic evidence suggests that this "market efficiency" hypothesis is correct.
The Other Side of Value Robert Novy-Marx A version of the paper can be found here. (sorry, I couldn't find a free link to the source paper). [...]
Customer-Base Concentration: Implications for Firm Performance and Capital Markets Panos N. Patatoukas A version of the paper can be found here. Abstract: This paper investigates whether [...]
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns Turan G. Bali, Nusret Cakici, and Robert F. Whitelaw The Journal of Financial Economics, [...]
“We analyze the relation between investor recognition and stock returns. Consistent with Merton’s (1987) theoretical analysis, we show that (i) contemporaneous stock returns are positively related to changes in investor recognition, (ii) future stock returns are negatively related to changes in investor recognition, (iii) the above relations are stronger for stocks with greater idiosyncratic risk and (iv) corporate investment and financing activities are both positively related to changes in investor recognition. Our results demonstrate that investor recognition is an important determinant of both stock returns and real corporate activity.” Abstract: “We analyze the relation between investor recognition and stock returns. Consistent with Merton’s (1987) theoretical analysis, we show that (i) contemporaneous stock returns are positively related to changes in investor recognition, (ii) future stock returns are negatively related to changes in investor recognition, (iii) the above relations are stronger for stocks with greater idiosyncratic risk and (iv) corporate investment and financing activities are both positively related to changes in investor recognition. Our results demonstrate that investor recognition is an important determinant of both stock returns and real corporate activity.”
Capacity Constraints, Profit Margins and Stock Returns Bjorn Jorgensen, Gil Sadka, and Jing Li. A recent version of the paper can be found here. Abstract: [...]
© Copyright 2025 alpha architect | All Rights Reserved | Home | Terms of Use | Privacy Policy | Disclosures | Subscribe | Contact Us