Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


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

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 ...

Juicing up the Accrual Anomaly

Percent Accruals
  • Nader Hafzalla, Russell Lundholm, and Matt Van Winkle
  • A version of the paper  can be found here.
  • Live implementation data can be found at Empirical Finance Data (Expected Q2 2011)
Abstract: We document how the effectiveness of ...

Magic Formula and Small Caps–The Missing Link?

A reader recently commented in response to our study on the Magic Formula, which questions the 31% CAGR performance of the strategy over the 1988--2004 time period (comment posted below). The reason you are coming up with numbers that are ...

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