Quant Mashup - Alpha Architect 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(...)