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Journal Article

Size Matters, If You Control Your Junk

When it comes to equity investing, size matters—and in a bigger way than once thought—but only when controlling for junk. We examine seven challenges that have been hurled at the size effect and dismantle each one by controlling for a firm's quality.

Working Paper

The August of Our Discontent

The summer of 2007 caused some turmoil in the world of quantitative investing, leading to questions about quant investing in general and specific questions about what happened in July and August. We've tried to answer some of those questions here.

Working Paper

The Power of Past Stock Returns to Explain Future Stock Returns

We find that a properly specified one-year momentum strategy has explanatory power for stock returns when used alone, when tested against size and book-to-market, and when subjected to exhaustive robustness checks.

Working Paper

One Reason Not to Avoid Market Timing

Market timing should be undertaken only to the extent an investor feels his skills overcome the hurdles.

Journal Article

Quality Minus Junk

We show that a quality-minus-junk (QMJ) factor that goes long high-quality stocks and shorts low-quality stocks earns significant risk-adjusted returns in the U.S. and globally. Also, controlling for quality resurrects the otherwise moribund size effect.

Working Paper

Does Dividend Policy Foretell Earnings Growth?

Many market observers see low dividend payouts as a sign of high future earnings growth to come. However, our evidence suggests that real-world complications can confound the expected relationship between current payouts and future earnings.

Working Paper

The Bubble Has Not Popped

Many called the stock market “undervalued” in 2002, based on how far and fast it had fallen over the prior two years. But this 2002 article contends that stocks are not necessarily cheap after the decline.

Working Paper

Deep Value

We examine the efficacy of a hypothetical deep value strategy—where the valuation spread between cheap and expensive securities is wide relative to its history—across global asset classes and also provide new evidence on competing theories for the value premium.

Working Paper

Bubble Logic: Or, How to Learn to Stop Worrying and Love the Bull

A bull market produces stories, often absorbed by investors engaged in wishful thinking, that encourage the purchase or retention of stocks or mutual funds. This has led them to bid up stocks so high that even long-term investors will be disappointed.