Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Real-Time Market Efficiency

Market Efficiency in Real-Time
  • Jeffrey Busse and Clifton Green
  • A recent version of the paper can be found here.
Abstract: The Morning Call and Midday Call segments on CNBC TV provide a unique opportunity to study the efficient market ...

Academic Alpha vs. Practical Alpha

WARNING: After reading this you will no longer believe money grows on trees. I love working on this blog--great outlet to discuss cool research, share knowledge, meet interesting people, and monitor spam comments for 2 hours a day. Nonetheless, I ...

Debunking Semi-Strong Market Efficiency

Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar
  • Gur huberman and Tomer Regev
  • A recent version of the paper can be found here.
Abstract: A Sunday New York Times article on a ...

The Shiller P/E Ratio

Robert J. Shiller, an American academic, made waves in the economic community when he correctly anticipated the sharp decline in equities in 2000 in his book “Irrational Exuberance.”  In the book, one of Shiller’s basic tools for thinking about equity ...

Screen Backtest during the 2008 debacle

Turnkey Analyst showed me a very interesting article from ZeroHedge this morning: http://www.zerohedge.com/news/some-fun-analogies-rhyming-history-and-repeating-futures The main point of the article? History almost repeated itself! Oct 3, 2008: SPX=1099.23; VIX=45.14 Oct 3, 2011: SPX=1099.23; VIX=45.45 Since the stock market seems to ...

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 positive abnormal returns in months when they are expected to pay dividends. Abnormal ...

Evolution and the Overconfidence Phenomenon

Many have questioned why overconfidence might exist in human populations when it can lead to suboptimal outcomes such as wars or, say, financial collapse.  Common sense suggests that an accurate assessment of one’s capabilities would lead to consistently better outcomes ...

Thinking in terms of “Shareholder Yields” – Notes from the Underground

I recall that during my first job on Wall Street, my boss had me generate a page of “comps,” or comparable companies with summary statistics for a valuation project I was working on.  It was easy to understand the P/E, ...

Socrates Would Have Been a Quant

The Greek philosopher Socrates walked the streets of Athens in a dirty cloak, talking with people throughout the city, and sources differ as to whether he ever held down any kind of a job other than professional philosopher.  Despite his ...

R&D to your portfolio’s rescue!

The Stock Market Valuation of Research and Development Expenditures Abstract: We examine whether stock ...

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