Quant Mashup - Alpha Architect Fundamental Investors Following Insider Filings--Beware! [Alpha Architect]We use a large recent sample of Form 4 insider trading filings to provide evidence on the process through which SEC filings are disseminated via EDGAR. We find that while the delay from a filing’s acceptance by EDGAR to its initial public availability on the SEC website is relatively short, with a(...) Manliness implies Misreporting? [Alpha Architect]We examine the relation between a measure of male CEOs’ facial masculinity and financial misreporting. Facial masculinity is associated with a complex of masculine behaviors (including aggression, egocentrism, risk-seeking, and maintenance of social status) in males. One possible mechanism for(...) Help on an Academic Research Project... [Alpha Architect]Readers, I need your input for a research project. http://smeal.qualtrics.com/SE/?SID=SV_0JKTpsCsXIXnJ9H As many of you are aware, my primary passion is serving as the team leader for Alpha Architect. That said, I still conduct "serious" academic research with various colleagues in my(...) Predict Stock Returns Using the TREND of Profitability [Alpha Architect]This study shows that the recent trajectory of a firm’s profits predicts future profitability and stock returns. The predictive information contained in the trend of profitability is incremental beyond that provided by the profit level, and it is not subsumed by other well-known determinants of(...) Does "Sharpe Parity" work better than "Risk Parity?" [Alpha Architect]Strategies employing Risk Parity have been favored by mutual funds and other market participants the past few years. The attraction of risk parity strategies is the great story associated with the approach and the historical performance over the past 30 years has been favorable. However, there is an(...) Weekend Geekout: The History of Low Volatility Investing [Alpha Architect]Eric Falkenstein is an economist, with a PhD in economics, a quantitative geek, and a book writer. In his blog, Falkenblog, there are voluminous mind-blowing articles since 2008, which definitely worth your time to read. Recently he posted an article about the history of Low Volatility Investing and(...) Why Indexing and "Smart Beta" Are So Popular [Alpha Architect]We study the joint determination of fund managers' contracts and equilibrium asset prices. Because of agency frictions, investors make managers' fees more sensitive to performance and benchmark performance against a market index. This makes managers unwilling to deviate from the index and(...) Frequent Trading + Optimistic Analyst Recommendations = Significant Misvaluations! [Alpha Architect]This paper empirically studies how the interaction between short-term investors and analyst recommendations is related to a speculative component in stock prices. Using a new measure of the holding duration of institutional investors (called Stock Duration), we document that frequently traded stocks(...) Quantitative Value @ $19.99 is Back On!!! [Alpha Architect]Hi everyone! I am happy to announce that our book shipment has arrived and Quantitative Value is back on the market at $19.99! We ordered 760 copies, but our daily sales have really accelerated as of late, so don't wait to grab a copy. David wasn't smiling this much when we were hand(...) Quantitative Momentum Research: Short-Term Return Reversal [Alpha Architect]Predictable variation in equity returns might reflect either (1) predictable changes in expected returns or (2) market inefficiency and stock price "overreaction." These explanations can be distinguished by examining returns over short time intervals since systematic changes in fundamental(...) The One Factor To Save Them All--Leverage [Alpha Architect]Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities(...) Quantitative Momentum Research: Long-Term Return Reversal [Alpha Architect]Research in experimental psychology suggests that, in violation of Bayes' rule, most people tend to “overreact†to unexpected and dramatic news events. This study of market efficiency investigates whether such behavior affects stock prices. The empirical evidence, based on CRSP(...)