Alpha Architect Research Blog

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

The Newest Alpha Architect Research and Insights


Disasters and Investing

Sentiment and Stock Prices: The Case of Aviation Disasters
  • Guy Kaplanski and Kaim Levy
  • A version of the paper can be found here.
Abstract: Behavioral economic studies reveal that negative sentiment driven by bad mood and anxiety affects investment ...

The Good News in Short Interest

http://www.reuters.com/article/2011/02/10/us-shortsellers-study-idUSTRE71973620110210 ...

Talking Your Book–Make it Part of Your Investment Program

"We study how professional investors use social networks to impound price-relevant information into asset prices. Exploiting novel data from an online social network that facilitates information sharing among fund managers, we find that long (short) recommendations released into the private ...

Kenyan Sex Markets and Behavioral Finance

"Though formal and informal sex work has long been identified as crucial for the spread of HIV/AIDS, the nature of the sex-for-money market remains poorly understood. Using a unique panel dataset constructed from 192 self-reported diaries, we find that women ...

The Asset Growth Effect in Stock Returns

The Asset Growth Effect in Stock Returns
  • Michael Cooper, Huseyin Gulen, and Michael Schill
  • A version of the paper  can be found here.
  • A published, more clean-cut perturbation of this paper can be found here.
  • Live implementation data can be ...

Labor Unions are Hazardous to Your Wealth!

Long-Run Impacts of Unions on Firms: New Evidence from Financial Markets, 1961-1999
  • David S. Lee & Alexandre Mas
  • A version of the paper can be found here.
  • Lots of cool background research can be found here.
Abstract: We estimate ...

Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers

Discussion: In the academic literature, the highest book-to-market portfolio (value portfolio) has created controversy. On one hand, efficient market theorists believe the "value portfolio" outperforms the market because the portfolio is fundamentally riskier than the broader market. A pile of ...

The Other Side of Value

The Other Side of Value
  • Robert Novy-Marx
  • A version of the paper can be found here. (sorry, I couldn't find a free link to the source paper).
  • Live implementation data can be found at Empirical Finance Data
Abstract: Profitability, as measured ...

Customer-Base Concentration: Implications for Firm Performance and Capital Markets

Customer-Base Concentration: Implications for Firm Performance and Capital Markets
  • Panos N. Patatoukas
  • A version of the paper can be found here.
Abstract: This paper investigates whether and how customer-base concentration affects supplier firm fundamentals and stock market valuation. I ...

Hot off the JFE Press: Maxing Out…your returns?

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
  • Turan G. Bali, Nusret Cakici, and Robert F. Whitelaw
  • The Journal of Financial Economics, Vol. 99 February 2011
  • A version of the paper can be found here.
Abstract: ...

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.