Hot off the press and haven't had time to reverse engineer and verify, but this is pretty interesting stuff at first glance. The Enduring Effect of Time-Series Momentum on Stock Returns Over Nearly 1 ...Continue Reading
Worrying About the Stock Market: Evidence from the Hospital Admissions Engelberg and Parsons A version of the paper can be found here. Want a summary of academic papers with alpha? Check out o ...Continue Reading
The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies Chu, Hirshleifer and Ma A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Ac ...Continue Reading
We try to buy the cheapest, highest quality value stocks that everyone hates.
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There's one thing I am on bullish on, and it's taxes. They're going up
Wes Gray (Wharton, 2002) seeks nothing short of bringing down Wall Street. It's not that he hates bankers or hedge funders, per se. It's just that their model-serving as middlemen between investment products and consumers-is inefficient, outdated and just asking to be disrupted
As it turns out, a number of studies point to ways to assess the value of a stock market. Perhaps the most readable of these is from Wesley Gray and Jack Vogel: "Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years" (Drexel University, January 2012)
We're trying to be more user-friendly and honorable than the traditional kind of dog-eat-dog Wall Street company," he says, explaining that his company is geared around investor education and publicly available research. "That's something that comes form being in the military. It's a humbling thing that translates over.
Alpha Architect's experience working with family offices in the dual role of consultant and investment manager has given us the opportunity to see a lot of indecipherable marketing materials and esoteric investment strategies over the years, neither of which appear to be in the best interest of the investor.
In the end, the evidence suggests that the most effective way to value invest is straightforward: Buy the cheapest, highest-quality value stocks.