Clik here to view.
Quantitative Value Research: Low P/E
For the next 30-60 days we’ll be posting a recap research report on classic research related to quantitative value investing. This is the first part of the series. Stay tuned for a whole lot more!...
View ArticleClik here to view.
Quantitative Value Research: Cyclically-adjusted P/E (CAPE) Factor
Stock Prices, Earnings, and Expected Dividends Campbell and Shiller A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap...
View ArticleClik here to view.
Quantitative Value Research: E/P or Size Effect?
Earnings Yields, Market Values, and Stock Returns Jaffe, Keim and Westerfield A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research...
View ArticleHow to calculate 3-factor (Fama-French) and 1-factor (CAPM) alpha
We’ve had a few questions related to 3-Factor Fama-French and 1-Factor (CAPM) alpha calculations recently (maybe it is midterm season?) We’re here to help! Below is a an old video (note the...
View ArticleClik here to view.
Quantitative Value Research: Cyclically-adjusted B/M (CA-BM) Factor
On the Performance of Cyclically Adjusted Valuation Measures Gray and Vogel A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap...
View ArticleClik here to view.
Backtesting 13 AAII Value Strategies: What Wins?
Does Complexity Imply Value? AAII Value Strategies from 1963 to 2013 Gray, Vogel, and Xu A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic...
View ArticleClik here to view.
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...
View ArticleClik here to view.
Quantitative Value Research: A Summary of Various Value Metrics!
Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years Gray and Vogel A version of the paper can be found here and here. Want a summary of academic papers with alpha? Check out...
View ArticleClik here to view.
Quantitative Value Research: Weighted P/E Bracket
Decomposing the Price-Earning Ratio Anderson and Brooks A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract:...
View ArticleClik here to view.
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...
View ArticleClik here to view.
Quantitative Value Research: Long-term P/E Ratio
The Long-Term Price-Earnings Ratio Anderson and Brooks A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract:...
View ArticleClik here to view.
Quantitative Value Research: NCAV/MV Factor
Testing Benjamin Graham’s Net Current Asset Value Strategy in London Xiao and Arnold A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic...
View ArticleClik here to view.
Mission Impossible: Beating the Market Forever
Mission Impossible: Beating the Market Forever Author: Wesley Gray, PhD This is an article I did for CFA Institute and an update on an old piece we did a few years ago. The remarkable fact is that...
View ArticleChatting Quant Value @ Wharton Today–Business Radio
http://businessradio.wharton.upenn.edu/programs/behind-the-markets-with-jeremy-siegel/ I’ll be chatting with the “Jeremys” on Sirius Radio on Business Radio Channel 111. @ 1pm EST Hosts Jeremy Siegel...
View ArticleQuant Value $19.99 Book Deal is Over
Wow. We blew out 300+ books in a few weeks. There are a lot more quant geeks out there than I originally suspected. Holy mackerel! Thanks for all the support and we hope you enjoy Quantitative Value....
View ArticleClik here to view.
Oil Stocks: A Real-Time Case Study in Value Investing
I just took a snapshot of the front page of Yahoo Finance, CNBC.com, and Bloomberg.com: Bloomberg.com @ 1725 EST CNBC.com @ 1725 EST Finance.Yahoo.com @ 1725 EST WHO WOULD EVER BUY AN OIL STOCK???...
View ArticleClik here to view.
Value Investing: Digging Manager Graveyards Since 1900.
Following value strategies can be hazardous to one’s wealth in the short run. Oil stocks are a great example of the challenge value investors face: The stocks are down big–and getting cheaper–but could...
View ArticleClik here to view.
Shareholder Yield: Do longer-term calculations enhance performance?
Wes and I have a recent paper (found here) which examines a more complete measure of shareholder yield (dividends, net stock repurchases, and debt reduction). Here is the abstract: High-dividend-yield...
View ArticleClik here to view.
How to Create a Tax-Efficient DIY Long/Short Hedge Fund
Bad News: The market current offers long/short equity exposure that is expensive, tax-inefficient, opaque, and the underlying process is often questionable. Good News: We’ve created a Do-It-Yourself...
View ArticleClik here to view.
Why Indexing and “Smart Beta” Are So Popular
Asset Manager Contracts and Equilibrium Prices Buffa, Vayanos, and Woolley (2014) A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research...
View Article