Alpha Architect Research Blog

The Newest Alpha Architect Research and Insights


Stock Anomaly Smorgasbord–Wow!

Digesting Anomalies: An Investment Approach Abstract: An empirical q-factor model consisting ...

Housing market repeat?

I recently came across a few stories about "new" proposals by regulators. Here is the quote from Federal Housing Finance Agency Director Mel Watt: Additionally, Watt pledged to increase access for less affluent borrowers, saying the FHFA is working with the ...

Mind the Gap: A Way to Enhance Momentum Profits

The Momentum Gap and Return Predictability Abstract:  Momentum strategies have historically delivered high Sharpe ...

Face-ripping Drawdowns and the Magic Formula

Due to a surge of interest from our "Long Cheap; Short Expensive. Buyer Beware" post, we decided to analyze the impact of changing the net exposure of the Magic Formula Long/Short portfolio (and of course, the impact on returns). Similar to the last post, ...

Quantitative Value Research: Weighted P/E Bracket

Decomposing the Price-Earning Ratio Abstract: The price-earnings ratio is a widely used measure ...

Long Cheap; Short Expensive. Buyer Beware.

A recent New York Times article examines the story of Joel Greenblatt, author of "The Little Books That Beats the Market." Joel has leveraged this book and is now managing money using a similar strategy for Gotham Asset Management. Joel is, ...

Predicting Bonds with Stock Characteristics

Is the Cross-Section of Expected Bond Returns Influenced by Equity Return Predictors?
  • Chordia, Goyal, Nozawa, Subrahmanyam and Tong
  • A version of the paper can be found here.
  • Want a summary of academic papers with alpha? Check out our Academic Research Recap ...

Quantitative Value Research: A Summary of Various Value Metrics!

Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years Core ...

Avoid CEOs that Golf like Tiger Woods

FORE! An analysis of CEO shirking Abstract: Using CEO golf play as ...

Digging into the Enterprise Multiple Factor

New Evidence on the Relation Between the Enterprise Multiple and Average Stock Returns
  • Loughran and Wellman
  • A version of the paper can be found here. (Also described in a much more entertaining fashion in Toby's new book: Deep Value)
  • Want a ...

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