Monetary Policy Rate Uncertainty Predicts Higher Equity Volatility
Volatility in equity markets and monetary policy rate uncertainty Iryna Kaminska and Matt Roberts-Sklar Journal of Empirical Finance A version of this paper can be [...]
A Quantitative Strategy for Enhancing Merger Arbitrage
Merger arbitrage, sometimes known as "risk arbitrage," is an investing strategy in which the investor bets on announced M&A deals. After a merger is announced, [...]
Podcast: The Future of the Advisory Business with Matt Topley and Don Riley (Wes)
Here is a link to our podcast on Behind the Markets Wes and Ryan discuss Matt and Don's investment positioning going into 2018. We also [...]
Academic Research Insight: Results on Financial Misconduct Depend on the Database One Uses
Proxies and Databases in Financial Misconduct Research Jonathan M. Karpoff, Allison Koester, D. Scott Lee and Gerald S. Martin The Accounting Review A version of [...]
Warm Weather…Here We Come! Let us Know if You’re In Florida Next Week!
We'll have a small contingent from the Alpha Architect team down at the 2018 InsideETFs conference -- myself, Jack Vogel, and Ryan Kirlin. Make sure you [...]
Value and Momentum Factor Portfolio Construction: Combine, Intersect, or Sequence?
Wes asked that I contribute to the ongoing debates regarding the construction of value and momentum portfolios. There are three key research pieces on [...]
The Mother of All Momentum Research Reports. A Must Read!
J.P. Morgan researchers, Marko Kolanovic and Zhen Wei, produced an incredibly detailed report on all aspects of momentum (one of our favorite topics!) Here is [...]
Academic Research Insight: Surprise! Seeking Alpha Opinions Have Investment Value
Wisdom of the Crowds: The Value of Stock Opinions Transmitted Through Social Media Hailiang Chen, Prabuddha De, Yu Jeffrey Hu, Byoung Hyoun Hwang Review of [...]
Quant Job Available in Chicago
From a friend in the business -- Andrew Carter. I’m hiring for a junior position right now, based in Chicago. It’s a highly quant based [...]
Five Investing Podcasts You Should Listen To
This article was published at the WSJ, but it is now behind a paywall. Below is my original list, for those who want to see [...]
The History of ETFs: Perspectives from ETF Legends, Reggie Browne and Arlene Rockefeller
ETFs have grown fast, yet there are still some opponents of the structure. However, the general story by ETF opponents has changed over the past [...]
The Value Effect and Macroeconomic Risk
It has been well-documented that value stocks have provided higher expected returns than growth stocks. However, there is a great debate about the source of [...]
Academic Research Insight: Yes, Departing Outside Directors Are Aware of Fraud Before They Resign
Go Before the Whistle Blows: An Empirical Analysis of Director Turnover and Financial Fraud Yanmin Gao, Jeong-Bon Kim, Desmond Tsang, Haibin Wu Review of Accounting [...]
Academic Research Papers and Presentations Galore!
It is that time of year again, the American Finance Association Annual Meeting is underway. The conference is in Philadelphia, starting today (January 5) and running [...]
Predicting Stock Returns Using Firm Characteristics
A few weeks ago, we did a deep dive into the factors versus characteristics debate. One of the reasons we've brought up this debate is [...]
Academic Research Insight: The Importance of Financial Literacy
Employees Financial Literacy and Retirement Plan Behavior: A Case Study Robert Clark, Annamaria Lusardi, Olivia Mitchell Economic Inquiry, forthcoming A version of this paper can be [...]
The Tax Efficiency of Long-Short Strategies
Conventional wisdom can be defined as ideas that are so accepted that they go unquestioned. Unfortunately, conventional wisdom is often wrong. Two great examples are [...]
Academic Research Insight: Predicting Long Run Stock Returns? It’s All About the Payout.
The Long-Run Drivers of Stock Returns: Total Payouts and the Real Economy Philip U. Straehl and Roger G. Ibbotson Financial Analysts Journal A version of [...]
Holiday Greetings From Alpha Architect…and Some Investment Advice
On behalf of the entire team at Alpha Architect, have a wonderful and joyous holiday with friends and family. We hope you enjoy our motivated [...]
Stock Misplacement in Sized-Based Indices
There has been much discussion of the small-cap premium recently. Has its popularity cannibalized its utility? Are large firms preventing a level playing field? Will [...]