Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


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 ...

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 ...

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