Algorithm Aversion — Why people don’t follow the model!
There are many studies showing that models beat experts, including the meta-study "Clinical versus mechanical prediction: A meta-analysis" by Grove et al. (2000). However, given [...]
Book Review — Decide to Play Great Poker: A Strategy Guide to No-Limit Texas Hold’Em
Among a certain set of people, the desire to be good at poker is just in their bones. Maybe it’s because they want to win [...]
One way to beat the market. Be different!
This study was inspired by Ben Carlson's blog post a few months ago. Ben highlights Robert Hagstrom's book "The Warren Buffett Portfolio." The high level question is [...]
P/E “Attention” Strategies Earn Monthly Excess Return of 1%!
Rankings of Published Pricing-earnings Ratios and Investor Attention Jordan Moore A version of the paper can be found here. Want a summary of academic papers with [...]
Market timing with Value and Momentum
Yesterday we wrote a post showing a potential way to time the market using valuation-based signals. In the past we have also examined how to use [...]
Eureka! A Valuation-Based Asset Allocation Strategy that Might Work
We've had a few posts showing that asset allocation systems relying on market valuation indicators (e.g., Shiller CAPE ratios) as a timing signal may end up [...]
Daily Academic Alpha: Why Women Should make MORE than Men…
As the proud father of 3 kids (to include 2 daughters), this set of papers, while a bit off the wall, made me smile a [...]
Book Review: Cracking the Emerging Markets Enigma by Andrew Karolyi
A recent IMF World Economic Outlook survey projected that in 2015-2016 advanced economies will grow at 2%-2.5% rate, while emerging and developing markets are growing [...]
Daily Academic Alpha: Fresh Evidence on the Fama French 5-Factor Model
The past few weeks we've highlighted a set of research papers that go back and forth on the validity of the Fama and French "5-factor [...]
Daily Academic Alpha: Analyzing the Effects of Long-Term vs. Short-Term Investors
Through the traditional lens of the efficient market hypothesis, market prices stick close to their fundamental values because professional investors with large amounts of capital [...]
Our Free Tools Are Updated: Do-It-Yourself Investors Unite
Readers: We've updated the technology behind our free tools for financial professionals. Unfortunately, this took a long time, but now that we've developed the framework, we'll [...]
Daily Academic Alpha: International 5-Factor Evidence from Fama and French
About a month ago we posted on the robustness of the Novy-Marx profitability factor, which is embedded in the Fama-French 5-factor. We also highlighted potential weaknesses in [...]
A Live Lesson in Value-Investing: The Energy Meltdown
We sat down and did a quick and dirty analysis of the S&P sector ETFs on a YTD basis and over the past 2 months. [...]
Ben Carlson on Active Investing, Value Investing, and Garage Sales
Yesterday we posted a review on Ben's new book, A Wealth of Common Sense. We reached out to Ben and conducted a follow up Q&A. [...]
Dear Adam Nash: God Called…He Wants his Soap Box Back
Wealthfront's CEO recently posted a hard-hitting blast against Betterment. The core argument was against Betterment's fees charged to small accounts ($3 / month for accounts with less [...]
Book Review: A Wealth of Common Sense by Ben Carlson
Ben Carlson splashed onto the blog scene a few years ago with his hit website, aptly named, "A Wealth of Common Sense." My initial reaction was, "Oh [...]
Value Investing Research: O-Score and Distress Risk
Book-to-Market Equity, Distress Risk, and Stock Returns, by Griffin and Lemmon (2002 Journal of Finance) investigate the relationship between value premiums and distress risk. There [...]
The First Academic Paper with a Shotgun Picture in it
Here is one of the figures in a Journal of Finance paper published in 2013 by N. Garleanu and L Pedersen. The figure depicts various [...]
Long/Short Hedge Fund Factors: Low-Cost Downside Protection?
The holy grail of financial markets is finding strategies that have misaligned risk and reward characteristics. In the traditional view, investors try to do the [...]
The Philosophy of Value Investing — Reject “New Paradigm” Thinking
Every few years, people start to question whether value investing is dead. A recent Google search along these lines generated 3.1 million results: Likewise, people [...]