Alpha Architect Research Blog

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

The Newest Alpha Architect Research and Insights


Long-Term Trendspotting: Demographics Matter

Demographic Changes, Financial Markets, and the Economy
  • Robert Arnott and Denis Chaves
  • A version of the paper  can be found here.
Abstract: It seems natural that the shifting composition of a nation’s population ought to influence GDP growth ...

Technical Analysis may actually work!

Note: This is a guest post by Tom Cleveland A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
  • Yufeng Han, Ke Yang, and Guofu Zhou
  • A version of the paper  can be found here.
  • Live implementation data can be ...

Is Trading with Twitter only for Twits?

Tweets and Trades: The Information Content of Stock Microblogs
  • Timm Sprenger and Isabell Welpe
  • A version of the paper  can be found here.
Abstract: Microblogging forums have become a vibrant online platform to exchange trading ideas and other ...

Ben Graham Trading Rules Backtest

Our recent Ben Graham post generated a lot of interest and a LOT of emails. One of the more interesting questions asked was, "How does the Ben Graham criteria work as a trading rule?" In order to explore this question ...

Backtesting Ben Graham

Charles Mizrahi, over at http://www.hiddenvaluesalert.com/, suggested we backtest a simple Ben Graham strategy mentioned in a 1976 article he dug up in Medical Economics. Charles has been implementing Ben Graham related strategies for many years and the live performance of his recommendations ...

Goodwill Gone Bad

Have Goodwill Accounting Gone Bad?
  • Kevin Li and Richard Sloan
  • A version of the paper  can be found here.
  • Live implementation data can be found at Empirical Finance Data (Expected Q2 2011)
Abstract: SFAS 142 replaces the systematic amortization ...

Satisfying Employees: A Satisfying Investment Strategy?

Are you trying too hard? Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices.
  • Alex Edmans
  • A version of the paper  can be found here.
  • Related research reports from UBS can be found here and here.
  • Live ...

Asset Growth Across Countries

A new working paper investigates the asset growth anomaly across multiple countries and finds that the effect is fairly robust. Here is the link to the document: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1787237& Here is a link to our original post on the anomaly: http://blog.alphaarchitect.com/2011/03/the-asset-growth-effect-in-stock-returns/ ...

Don’t Short Sell the Value of Fundamentals!

The Role of Fundamental Analysis in Information Arbitrage: Evidence from Short Seller Recommendations
  • Hemang Desai, Srinivasan Krishnamurthy and Kumar Venkataraman
  • A version of the paper can be found here.
Abstract: We examine whether information arbitrageurs attempt to exploit the ...

Dual-Class Shares: A First-Class Strategy

Mispricing of Dual-Class Shares: Profit Opportunities, Arbitrage, and Trading
  • Paul H. Schultz and Sophia Shive
  • A version of the paper can be found here.
  • We maintain live datasets for this strategy and can pipe customized products via our Data site ...

Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. There is a risk of substantial loss associated with trading stocks, commodities, futures, options and other financial instruments. Please click Full Disclaimer for additional disclosures.