Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Active, Irregular Day in the Stock Market–What Else is New?

Source. LOC.gov
A news article from September 29, 2016 -- 100 years ago, today. The lead article of the Evening Star highlights that there was an "active, irregular day in the stock market." The article is followed by commentary that essentially states ...

Introducing the Global Earnings Announcement Premium

earnings-announcement-premium
How do stock prices react to earnings announcements? Sometimes prices go up, and sometimes they go down. But here is a potentially more interesting question: What is the average performance across all stocks that have an announcement? The question of ...

Predicting Booms and Busts in Low Volatility Strategies

beta-arb
Low volatility funds are some of the best performers in the market these days. As such, they have attracted renewed attention in addition to significant asset flows. (note: a refresher on low volatility investing is here, h.t. Eric Falkenstein). But ...

Why a Stock Market Double Would Not be Weird

stock-market-double-dog
This morning we got a sad note from a famous former hedge fund manager (a friend of the firm who shall remain nameless): What if the [stock] returns are never positive again? Just a question from a deeply scarred former ...

Tactical Asset Allocation: A Practitioner’s Defense of Return Predictability

correlation matrix of predictor variables
The prospect of being able to successfully anticipate and predict future market returns is irresistible to practitioners and academics alike, although success has proven elusive. Many have fallen short while seeking this "holy grail" of investing. For instance, Goyal and ...

How Dumb Money and Smart Money Drive Stock Market Anomalies

2016-08-25 12_20_39-smartdumb18 - Copy.pdf - Adobe Acrobat Pro
Stock market anomalies behave in mysterious ways. Over long periods of time they can provide expected outperformance versus passive indexes, but in the short run they can experience bouts of gut-wrenching underperformance (e.g., value and momentum). What accounts for this ...

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