Alpha Architect Research Blog

Last updated on February 21st, 2016 at 04:45 pm

The Newest Alpha Architect Research and Insights


Decision Fatigue

All of us are faced every day with a myriad of choices, but if you’re like me, you don’t spend much time thinking about how the choices you make affect your decision making.  Luckily, we have academics at famous universities ...

Mr. Market and Joe Pesci

We here at Turnkey Analyst are big fans of Ben Graham, and are stalwart believers in the enduring relevance of Graham’s famous character, Mr. Market, to questions about investing in common stocks.  Graham’s Mr. Market is a finicky character, some ...

The Accrual Anomaly For Dummies

One of the subtler screens offered at Turnkey Analyst is the Percent Accruals screen.  For an excellent review of the “Accrual Anomaly,” take a look at the Turnkey PhD’s excellent blog post. Now I don’t know about you, but sometimes I ...

Why Growth Stocks are Awesome

Sometimes its nice to reflect on some of the more esoteric articles being published in academic finance journals--good way to assess exactly how disconnected from the real-world the ivory tower has become. The most absurd economic arguments assume humans are ...

Who is Swimming Naked? Typically the Stock-Pickers…

Now that the tide is leaving the shore, it's a great time to reflect on manager performance and the most elaborate casino on earth--the stock market. Bill Miller is best known for his fall from investing grace during the 2008 ...

Market Chaos Review

Meb has some great analytics and perspective on the recent turmoil in the markets: http://www.mebanefaber.com/2011/08/04/gaining-some-perspective/ Meb's post inspired me to churn out some quick research. I analyzed the monthly returns from Jan 1, 1963 to Dec 31, 2010 on the ...

Corporate Governance Brain Drain

I'd like to welcome a new contributor to the Empirical Finance Blog™--Jack Vogel. Jack is currently a PhD student in finance at Drexel University. He also happens to be my teammate when it comes to completing research projects. I've worked ...

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 a determinant of repurchase completion rates (the ratio of actual to announced repurchases) ...

How to use the Fama French Model

ff 25 plotted
The CAPM is prolific, but doesn't appear to work! (Note: see here for our epic post on the history of factor investing.) For example, in the figures below I've plotted the Fama-French 25 (portfolios ranked on size and book-to-market) against ...

Stop Using the Altman-Z Score.

Predicting Financial Distress and the Performance of Distressed Stocks
  • John Y. Campbell, Jens Hilscher, and Jan Szilagyi
  • A version of the paper  can be found here.
Abstract: In this paper we consider the measurement and pricing of distress ...

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