Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Academic Research Insight: The Value of Crowsourced Earnings Forecasts

  • Title: THE VALUE OF CROWDSOURCED EARNINGS FORECASTS
  • Authors:  RUSSELL JAME, RICK JOHNSTON, STANIMIR MARKOV, AND MICHAEL C. WOLFE
  • Publication: JOURNAL OF ACCOUNTING RESEARCH, SEPTEMBER 2016 (version here)
What are the research questions?
  1. Are crowdsourced earnings forecasts from a source such ...

Factor Investing: Evidence Based Insights

I will be talking on the Factor Investing panel at the upcoming Evidence-Based Investing Conference in Dana Point, CA next Sunday –Tuesday. I am excited for the opportunity to chat, and figured I would highlight a few thoughts we have on ...

1042 Exchange: Navigating Between a Rock and a Hard Place

1042-Exchange-Steer-Clear-of-Charybdis
This particular Greek dilemma is what came to mind when I first encountered an ESOP. I observed that business owners who sold shares to an ESOP seemed, like Odysseus, to find themselves between a rock and a hard place. They ...

Academic Research Insight: The Strategic Timing of Earnings News

  • Title: FURTHER EVIDENCE ON THE STRATEGIC TIMING OF EARNINGS NEWS: JOINT ANALYSIS OF WEEKDAYS AND TIMES OF DAY
  • Authors:       RONI MICHAEY, AMIR RUBIN, ALEXANDER VEDRASHKO
  • Publication: JOURNAL OF ACCOUNTING AND ECONOMICS,  2016 (version here)
What are the ...

Active Share: Does it Predict Fund Performance?

The Holy Grail for mutual fund investors is the ability to identify in advance, which of the active mutual funds (or ETFs nowadays) will outperform in the future. The evidence suggests this task is almost impossible. To date, the overwhelming ...

“Passive” Investing: Theory and Practice in a Global Market

Purely passive investing is theoretically plausible, but practically impossible. That said, the practical implementations can often be "good enough." As a theoretical index investor, you deploy capital, take a long snooze, and wake up some day to consume your portfolio. Unfortunately, ...

Academic Research Insight: Factors and the Road to Retirement

  • Title: A WEALTH MANAGEMENT PERSPECTIVE ON FACTOR PREMIA AND THE VALUE OF DOWNSIDE PROTECTION
  • Authors:        LOUIS SCOTT AND STEFANO CAVAGLIA
  • Publication: THE JOURNAL OF PORTFOLIO MANAGEMENT, SPRING 2017  (version here)
What are the research questions? The article links ...

What’s the Scale of Your ETF Portfolio?

In most industries, whether it be cars, jewelry, food or beverages, some products are built for scale and mass distribution, while others are niche and serve a distinct customer segment. However, some products simply aren't meant for mass distribution, either ...

The Value Momentum Trend Philosophy

If you've been reading our blog for a number of years you're 1) probably a finance geek, and you're 2) probably tired of us discussing the following themes:

Academic Research Insight: Concentration is King

  • Title: PORTFOLIO CONCENTRATION AND PERFORMANCE OF INSTITUTIONAL INVESTORS WORLDWIDE
  • Authors:       NICOLE CHOI, MARK FEDEINA, HILLA SKIBA, TATYANA SOKOLYK
  • Publication: JOURNAL OF FINANCIAL ECONOMICS,  2017 (version here)
What are the research questions? Portfolios in international markets ...

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