Value Investing: The Use of Historical Financial Statement Information to...
Discussion: In the academic literature, the highest book-to-market portfolio (value portfolio) has created controversy. On one hand, efficient market theorists believe the "value portfolio" outperforms...
View ArticleThe Asset Growth Effect in Stock Returns
ContentsThe Asset Growth Effect in Stock Returns The Asset Growth Effect in Stock Returns Michael Cooper, Huseyin Gulen, and Michael Schill A version of the paper can be found here. A published, more...
View ArticleDual-Class Shares: A First-Class Strategy
ContentsMispricing of Dual-Class Shares: Profit Opportunities, Arbitrage, and TradingData Source: Capital IQ. Mispricing of Dual-Class Shares: Profit Opportunities, Arbitrage, and Trading Paul H....
View ArticleAsset Growth Across Countries
A new working paper investigates the asset growth anomaly across multiple countries and finds that the effect is fairly robust. Here is the link to the document:...
View ArticleSatisfying Employees: A Satisfying Investment Strategy?
Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices. Alex Edmans A version of the paper can be found here. Related research reports from UBS can be found here and...
View ArticleGoodwill Gone Bad
Has Goodwill Accounting Gone Bad? Kevin Li and Richard Sloan A version of the paper can be found here. Live implementation data can be found at Empirical Finance Data™ (Expected Q2 2011) Abstract:...
View ArticleTechnical Analysis may actually work!
Note: This is a guest post by Tom Cleveland, market analyst for Forex Traders, exclusively for the Empirical Finance Blog™ A New Anomaly: The Cross-Sectional Profitability of Technical Analysis Yufeng...
View ArticleThe Ultimate Short Book.
Identifying Overvalued Equity Messod Beneish and Craig Nichols A version of the paper can be found here. Live implementation data can be found at Empirical Finance Data™ (Expected Q2 2011) Abstract:...
View ArticleJuicing up the Accrual Anomaly
Percent Accruals Nader Hafzalla, Russell Lundholm, and Matt Van Winkle A version of the paper can be found here. Live implementation data can be found at Empirical Finance Data™ (Expected Q2 2011)...
View ArticleStop Using the Altman-Z Score.
Predicting Financial Distress and the Performance of Distressed Stocks John Y. Campbell, Jens Hilscher, and Jan Szilagyi A version of the paper can be found here. Live implementation data can be found...
View Article