Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


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

Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers Joseph Piotroski A version of the paper can be found here. Live implementation data can be found at Empirical Finance Data™ Abstract: This paper examines whether ...

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 ...

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 compile ...

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: Motivated ...

Investor Recognition and Stock Returns

Investor Recognition and Stock Returns Reuven Lehavy and Richard G. Sloan The Review of Accounting Studies, Vol. 13, 2008. An older version of the paper can be found here. Abstract: We analyze the relation between investor recognition and stock returns ...

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 ...

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