Value Investing: Accruals, Cash Flows, and Operating Profitability
Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns Ball, Gerakos, Linnainmaa and Nikolaev A version of the paper can be [...]
Dividends can pay–without paying!
The Dividend Month Premium Sam Hartzmark and David Solomon A recent version of the paper can be found here. Abstract: We document that companies have [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
The Ultimate Short Book.
Identifying Overvalued Equity Messod Beneish and Craig Nichols A version of the paper can be found here. Live implementation data can be found at Empirical Finance [...]
Long-Term Trendspotting: Demographics Matter
Demographic Changes, Financial Markets, and the Economy Robert Arnott and Denis Chaves A version of the paper can be found here. Abstract: It seems natural [...]
Technical Analysis may actually work!
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis Yufeng Han, Ke Yang, and Guofu Zhou A version of the paper can be found here. [...]
Is Trading with Twitter only for Twits?
Tweets and Trades: The Information Content of Stock Microblogs Timm Sprenger and Isabell Welpe A version of the paper can be found here. Abstract: Microblogging [...]
Goodwill Gone Bad
Have Goodwill Accounting Gone Bad? Kevin Li and Richard Sloan A version of the paper can be found here. Live implementation data can be found [...]
Satisfying Employees: A Satisfying Investment Strategy?
Are you trying too hard? Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices. Alex Edmans A version of the paper can be [...]
Asset Growth Across Countries
A new working paper investigates the asset growth anomaly across multiple countries and finds that the effect is fairly robust. Here is the link to [...]
Don’t Short Sell the Value of Fundamentals!
The Role of Fundamental Analysis in Information Arbitrage: Evidence from Short Seller Recommendations Hemang Desai, Srinivasan Krishnamurthy and Kumar Venkataraman A version of the paper [...]
Dual-Class Shares: A First-Class Strategy
Mispricing of Dual-Class Shares: Profit Opportunities, Arbitrage, and Trading Paul H. Schultz and Sophia Shive A version of the paper can be found here. We maintain [...]
Disasters and Investing
Sentiment and Stock Prices: The Case of Aviation Disasters Guy Kaplanski and Kaim Levy A version of the paper can be found here. Abstract: Behavioral economic [...]
The Good News in Short Interest
http://www.reuters.com/article/2011/02/10/us-shortsellers-study-idUSTRE71973620110210
The Asset Growth Effect in Stock Returns
The Asset Growth Effect in Stock Returns Michael Cooper, Huseyin Gulen, and Michael Schill A version of the paper can be found here. Abstract: We [...]