Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


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: ...

Investor Recognition and Stock Returns

“We analyze the relation between investor recognition and stock returns. Consistent with Merton’s (1987) theoretical analysis, we show that (i) contemporaneous stock returns are positively related to changes in investor recognition, (ii) future stock returns are negatively related to changes ...

Capacity Constraints, Profit Margins, and Stock Returns

Capacity Constraints, Profit Margins and Stock Returns
  • Bjorn Jorgensen, Gil Sadka, and Jing Li.
  • A recent version of the paper can be found here.
Abstract: This paper studies the effects of capacity utilization on accounting profit margins and stock returns. Since accounting profit margins represent the average profit per unit and not ...

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.