This is a summary of links featured on Quantocracy on Tuesday, 06/11/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Value Factor Valuations Over Time: US and Developed [Alpha Architect]We built a simple tool recently to review so-called value spreads over time. (1) This tool maps out the median valuations for the top decile and bottom decile cheap stock portfolios (as measured by EBIT/TEV). Why might this be useful? This tool allows one to identify the valuation spread between the cheapest stocks and the most expensive stocks in the universe. Some research suggests
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The Cross-Section of Emerging Market Stock Returns [Alpha Architect]As a non-academic finance person, I was never really exposed to academic research until I started working on articles for Alpha Architect. Fortunately (or unfortunately, depending on your perspective), I am now very familiar with the so-called cross-section of expected returns debates. (explained here). This research seeks to identify the core factors that explain why stock move the way they