Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Portfolio Rebalancing Research: Momentum and Tolerance Bands

If you are looking for research on stock selection, you're in luck -- the research is everywhere and has arguably been overdone. Get started with Moon Cycles & Stock Market Returns and The Congressional Calendar & Stock Market Returns to get a sense for ...

Academic Research Insight: Factor Investing Over the Long Run

  • Title: FACTOR BASED INVESTING: THE LONG TERM EVIDENCE
  • Authors:        ELROY DIMSON, PAUL MARSH, AND MIKE STAUNTON
  • Publication: THE JOURNAL OF PORTFOLIO MANAGEMENT, 2017, SPECIAL ISSUE (version here)
What are the research questions?
  1. Is there ...

March for the Fallen: Get Fit with Alpha Architect

As a former US Marine, Memorial Day is every day, however, Memorial Day is special because the time is set aside to reflect on those who paid the ultimate sacrifice. Enjoy and stay safe out there! In addition to enjoying the long ...

Trust, but Verify: The Potential Problems of Blind Investing

Nobody can predict the future, but there is a chance the blind purchase of broad-index portfolios will come to an abrupt and potentially chaotic end when the music finally stops. This argument is the thesis of this blog post. This article looks at decision-making ...

The Value Premium: Risk or Mispricing?

One of the great debates in finance is whether the source of the value premium is risk-based or a behavioral anomaly. In our book, “Your Complete Guide to Factor-Based Investing,” my co-author Andrew Berkin and I present the evidence showing ...

Academic Research Insight: The Social Media Factor

Editor's Note: The Academic Research Insight will be a weekly short-form research summary on research that is directly related to investing. Elisabetta Basilico (a PhD and a CFA!) will be driving the effort, which will supplement our long-form summaries, in-house ...

The CFA Institute is Coming to Philly — Give us a Shout!

As many of you probably already know (it seems a large portion of our audience either has a PhD or a CFA), the CFA Institute's Annual Conference is coming to Philadelphia this year. Please let us know if you'll ...

A Direct Test of the Dividend Catering Hypothesis

Why do CEOs decide to pay dividends? That is an interesting question, and one that academics have been researching for years. Miller and Modigiliani in 1961 show that if one assumes perfect and efficient capital markets, and investors should have ...

Research Portal: 1042 ESOP Rollovers for Business Owners

1042-ESOP-Rollovers-Research-Portal
Like most people confronting a perplexing challenge, business owners who are contemplating a Section 1042 sale of their equity to an ESOP frequently turn to the internet as an initial point of reference to research their tax-deferred rollover options. Many of ...

Chinese Market Anomalies – The Factor Killer?

The Oracle of Omaha just commented on the Chinese stock market in this year's Berkshire's annual meeting: ...Markets have a casino characteristic that has a lot of appeal to people, particularly when they see people getting rich around them. And ...

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