Studies and Research Papers

Studies and research papers resource pages

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Michael Mauboussin: Studies and research papers

  • The Real Role of Dividends in Building Wealth: Michael Mauboussin argues that for dividends to be included as a source in accumulating capital, the investor must reinvest dividends.
  • Blaming the Rat: Mauboussin talks about the relationship between incentives and behaviour.literature shows that the relationship between incentives and behaviour is more complex that what these scientists originally thought -- helpful for investors who are on the lookout for driven leaders who have good capital allocation skills
  • Untangling Skill and Luck: Michael Mauboussin provides framework on how to differentiate between skill and luck. One of the most difficult things a fund investor has to do.
  • It’s all about Managing for Value: Mauboussin discusses that the primary goal of a corporation is to maximize its long-term shareholder value.
  • A Surge in the Urge to Merge: Michael Mauboussin writes that companies making acquisitions in the early part of the cycle deliver the best returns
  • See For Yourself: Michael Mauboussin stresses the importance to carefully sort through the source of data and verifying the accuracy of claims.The investing world is no different with many misleading beliefs floating around.
  • Show Me the Money: Michael Mauboussin points out the shortcomings of earnings as a tool for assessing a company’s economic reality.
  • Death, Taxes, and Reversion to the Mean: Mauboussin writes that investors should be aware of the models that analyst use to predict future performance, notably returns on invested capital. Analysts should incorporate the concept of mean reversion in their model, tempering the optimism inherent in their forecasts.
  • Turtles in Omaha: Mauboussin argues that the qualities that make investors great are mainly emotional and psychological. The story of the Turtle Traders of Richard Dennis and Bill Eckhardt.
  • The Importance of Diverse Thinking: Michael Mauboussin refers to the concept of Charlie Munger’s use of different mental models to approach investing. The logic of multidisciplinary approach to investing provides investors new tools to solve complex problems.

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  • Size Matters: Michael Mauboussin emphasizes the importance of position sizing in investing.
  • Clear Thinking about Share Repurchase: Michael Mauboussin comments on the idea that share buyback are better than dividends. Not all buybacks are created equal.Share Repurchase from All Angles

Kenneth French: Studies and research papers

Full list of papers: French, Kenneth R.'s Scholarly Papers

Fama/French Forum: Ideas and observations from Fama and French


Eugene Fama: Studies and research papers

Foundations of Finance

Theory of Finance


James Montier: Studies and research papers

Some of James Montier’s recent investment insights:


Aswath Damodaran: Studies and research papers


Studies and research papers

The Ben Graham Centre for Value Investing: Studies and research papers

1) Published papers

  • Athanassakos, G., 2013, “Stock Picking”, (Editorial) Journal of Business & Financial Affairs, Vol. 2, No.2, pp. 1-2.
  • Athanassakos, G., 2013, “Are Negative P/E and P/B ratio Firms Different?”, Journal of Business & Financial Affairs, Vol. 2, No. 1, pp. 1-4.
  • Athanassakos, G., 2013, "Separating Winners from Losers Among Value and Growth Stocks in Canada: Another Step in the Value Investing Process", Journal of Applied Research in Accounting and Finance (JARAF), Vol. 8, No. 1, (June), pp. 17-40.
  • Athanassakos, G., 2012, “Value Investing Vs. Modern Portfolio Theory”, (Editorial)Journal of Business & Financial Affairs, Vol. 1, No. 2, pp. 1-2.
  • Athanassakos, G., 2011, “The Performance, Pervasiveness and Determinants of Value Premium in Different US Exchanges: 1985-2006”, Journal of Investment Management,Vol. 9, No. 3, Third Quarter, pp. 33-73.
  • Athanassakos, G., 2011, “Do Value Investors Add Value?”, Journal of Investing, Vol. 20, No. 2, Summer 2011, pp.86-100.
  • Athanassakos, G., 2010, “Seasonality in Value vs. Growth Stock Returns and the Value Premium”, Journal of Financial and Economic Practice, Vol. 10, No. 2, pp. 71-94.
  • Athanassakos, G., 2009, “Value vs. Growth Stock Returns and the Value Premium: The Canadian Experience 1985-2005”, Canadian Journal of Administrative Sciences, Vol. 26, No. 2, March, pp. 109-121.
  • Athanassakos, G., 2008, “Seasonal Patterns in Canadian Financial Markets and the Impact of Professional Portfolio Rebalancing: Evidence of Profitable Opportunities”,Journal of Financial and Economic Practice, Vol. 9, No. 1, Fall, pp.73-96.
  • Athanassakos, G., 2007, “Valuing Internet Ventures”, Journal of Business Valuation and Economic Loss Analysis, Vol. 2, No. 1, Article 2.
  • Athanassakos, G., 2002, “The Scrutinized-firm Effect, Portfolio Rebalancing, Stock Return Seasonality, and the Pervasiveness of the January Effect in Canada”,Multinational Finance Journal, Vol. 6, No. 1, pp. 1-27.
  • Athanassakos, G., 1992, “Portfolio rebalancing and the January effect in Canada”,Financial Analysts Journal, Vol. 48, No. 6, November/December, pp. 67-78.
  • Athanassakos, G., and L. F. Ackert, 1998, “The Seasonal Impact of Institutional Investors [The January Effect]”, Canadian Investment Review, Vol. 11, No. 3, Fall, pp. 28-31.
  • Athanassakos, G., and J. A. Schnabel, 1994, “Professional Portfolio Managers and the January Effect: Theory and Evidence”, Review of Financial Economics, Vol. 4, No. 1, Fall,pp. 79-91.
  • Ackert, L.F., and G. Athanassakos, 2005, “The Relationship Between Short Interest and Stock Returns in the Canadian Market”, Journal of Banking and Finance, Vol. 29, Issue 7 (July), pp. 1729-1749.
  • Ackert, L.F., and G. Athanassakos, 2003, “A Simultaneous Equations Analysis of Analysts' Forecast Bias, Analyst Following, and Institutional Ownership”, Journal of Business Finance and Accounting, Vol. 30, No. 7-8, September, pp. 1017-1042.
  • Ackert, L.F., and G. Athanassakos, 2001, “Visibility, Institutional Preferences and Agency Considerations”, Journal of Psychology and Financial Markets, Vol. 2, No. 4, pp. 201-209.
  • Ackert, L.F., and G. Athanassakos, 2000, “Institutional Investors, Analyst Following, and the January Anomaly”, Journal of Business Finance and Accounting, Vol. 27, No. 3&4,May, pp. 469-485.
  • Ackert, L.F., and G. Athanassakos, 1997, “Prior Uncertainty, Analyst Bias, and Subsequent Abnormal Returns”, Journal of Financial Research, Vol. 20, No. 2, Summer,pp. 263 - 273.
  • Alles, L., and G. Athanassakos, 2006, “The Effect of Investment Horizons on Risk, Return and End of Period Wealth for Major Asset Classes in Canada”, Canadian Journal of Administrative Sciences, Vol. 23, No. 2, June, pp. 138-152.
  • Anderson, K., and C. Brooks, 2006, "The Long-Term Price-Earnings Ratio”, Journal of Business Finance & Accounting, Vol. 33, No. 7-8, September/October, pp. 1063-1086.
  • Arnott, R., J. Hsu, and P. Moore, 2005, "Fundamental Indexation”, Financial Analysts Journal, Vol. 61, No. 2, March/April, pp. 83-99.
  • Bauman, W. S., C. M. Conover, and R. E. Miller, 1999, “Investor Overreaction in International Stock Markets”, The Journal of Portfolio Management, Vol. 25, No. 4, Summer, pp. 102-110.
  • Bauman, W. S., and R. E. Miller, 1997, “Investor Expectations and the Performance of Value Stocks Versus Growth Stocks”, The Journal of Portfolio Management, Vol. 23, No. 3, Spring, pp. 57-68.
  • Bauman, W. S., and R. J. Dowen, 1994, "Security Analyst Forecasts and the Earnings Yield Anomaly”, Journal of Business Finance and Accounting, Vol. 21, No. 2, March, pp. 283-291.
  • Bauman, W. S., and R. J. Dowen, 1986, “A Fundamental Multi-Factor Asset Pricing Model”Financial Analysts Journal, Vol. 42, No. 4, July/August, pp. 45-51.
  • Bauman, W. S. and R. J. Dowen, 1986, “The Relative Importance of Size, P/E, Neglect”,The Journal of Portfolio Management, Vol. 12, No. 3, Spring, pp. 30-34.
  • Bauman, W. S., and R. J. Dowen, 1984, “A Test of the Relative Importance of Popularity and Price-Earnings Ratio in Determing Abnormal Returns”, Journal of The Midwest Finance Association, Vol. 13, pp. 34-47.
  • Brandes Institute, The. Collection of research papers.
  • Conover, M. C., J. C. Banko, and G. R. Jensen, 2006, “The Relationship between the Value Effect and Industry Affiliation”, Journal of Business, forthcoming, Vol. 79, No. 5.September.
  • Conover, M. C., W. S. Bauman, and D. R. Cox, 2002, “Are the Best Small Companies the Best Investments?”, Journal of Financial Research, Vol. 25, No. 2, Summer, pp. 169–186.
  • Conover, M. C., W. S. Bauman, and R. E. Miller, 2001, “The Performance of Growth Stocks and Value Stocks in the Pacific Basin”, Review of Pacific Basin Financial Markets and Policies, Vol. 4, No. 2, June, pp. 95-108.
  • Conover, M. C., W. S. Bauman, and R. E. Miller, 1998, “Growth versus Value and Large-Cap versus Small-Cap Stocks in International Markets”, Financial Analysts Journal,Vol.52, No. 2, March-April, pp. 75-89.
  • de Zwart, G., J. van der Hart, and D. van Dijk, 2005, “The Success of Stock Selection Strategies in Emerging Markets: Is it Risk or Behavioral Bias?”, Emerging Markets Review, Vol. 6, No. 3, September, pp. 238-262.
  • de Zwart, G., and D. van Dijk, 2008, “The Inefficient Use of Macroeconomic Information in Analysts' Earnings Forecasts in Emerging Markets”, ERIM Report Series Reference No. ERS-2008-007, March 2008.
  • Doukas, J. -  Click here to view published papers
  • Fama, E. - Click here to view published papers
  • French, K., and E. F. Fama, 2007, “Disagreement, Tastes, and Asset Pricing”, Journal of Financial Economics, Vol. 83, pp. 667-689.
  • French, K., and E. F. Fama, 2006, “The Value Premium and the CAPM”, Journal of Finance, Vol. 61, pp. 2137-2162.
  • French, K., and E. F. Fama, 1998, “Value versus Growth: The International Evidence”,Journal of Finance, Vol 53, No 6, December 1998.
  • French, K., and E. F. Fama, 1995, “Size and Book-to-Market Factors in Earnings and Returns”, Journal of Finance, Vol 50, No 1, March 1995.
  • French, K., and E. F. Fama, 1993, “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics, Vol. 34, Issue 1, pp. 3-56.
  • French, K., and E. F. Fama, 1992, “The Cross-Section of Expected Stock Returns”,Journal of Finance, Vol. 47, Issue 2, pp. 427-65.
  • Griffin, J., and M. Lemmon, "Does Book-to-Market Equity Proxy for Distress Risk?”, 2002, Journal of Finance Vol. 57, pp. 2317-2336.
  • Griffin, J., 2002, "Are the Fama and French Factors Global or Country-Specific?” Review of Financial Studies Vol. 15, 783-803.
  • Guo, H. - Click here to view published papers
  • Hirshleifer, D., and K. Daniel, Subrahmanyam, A., 1998, “Investor Psychology and Security Market Under- and Over- Reactions”, Journal of Finance, lead article, December, pp. 1839-85.
  • Hirshleifer, D., and K. Daniel, Subrahmanyam, A., 2001, “Overconfidence, Arbitrage, and Equilibrium Asset Pricing”, Journal of Finance, Vol. 56, No. 3, June, pp. 73-84.
  • Hirshleifer, D., 2001, “Investor Psychology and Asset Pricing” Journal of Finance, Vol. 56, No. 4, August, pp. 1533-1598.
  • Hirshleifer, D., and S. H. Teoh, 2003, “Limited Attention, Information Disclosure, and Financial Reporting”, Journal of Accounting and Economics, Vol. 36, No. 1-3, December,pp. 337-386.
  • Hirshleifer, D., K. Hou, S. H. Teoh, and Y. Zhang, 2004, “Do Investors Overvalue Firms with Bloated Balance Sheets?”, Journal of Accounting and Economics, Vol. 38, No. 1-3, December, pp. 297-331.
  • Ho, K. - Click here to view published papers
  • Holthausen, R. W. and M. E. Zmijewski, 2012, “Valuation with Market Multiples: How to Avoid Pitfalls When Identifying and Using Comparable Companies”, Journal of Applied Corporate Finance, Vol. 24, No. 3, pp. 26-38.
  • Houge, T. - Click here to view published papers
  • Ivkovi?, Z., C. Sialm, S. Weisbenner 2008, “Portfolio Concentration and the Performance of Individual Investors”, Journal of Financial and Quantitative Analysis, Vol. 43, pp. 613-655.
  • Kacperczyk, M., and A. Seru, 2007, “Fund Manager Use of Public Information: New Evidence on Managerial Skills”, Journal of Finance, Vol. 62, pp. 485-528.
  • Kacperczyk, M., C. Sialm, and L. Zheng, 2005, “On the Industry Concentration of Actively Managed Equity Mutual Funds”, Journal of Finance, Vol. 60, pp. 1983-2012.
  • Knewtson, H. S., R. W. Sias, and D. A. Whidbee., 2010, “Style Timing with Insiders”,Financial Analysts Journal, Vol. 66, No. 4., July/August.
  • Pantzalis, C. - Click here to view published papers
  • La Porta, R., 2002, “Expectations and the Cross-Section of Stock Returns”, Journal of Finance, December 1996. Reprinted in Harold M. Shefrin ed. Behavioral Finance, Blackwell Publishers Ltd., Northampton, Massachusetts.
  • La Porta, R., J. Lakonishok, A. Shleifer, and R. Vishny, 1997, “Good News for Value Stocks: Further Evidence on Market Efficiency”, Journal of Finance, Vol. 52, No. 2, June, pp. 859-874.
  • Li, F., R. Arnott, and K. Sherrerd, 2009, “Clairvoyant Value and the Value Effect”, The Journal of Portfolio Management, Vol. 35, No. 3, Spring, pp.  12-26.
  • Molodovsky, N. and J. Thomas, 1995, “A Theory of Price-Earnings Ratios”, Financial Analysts Journal, Vol. 51, No. 1, Jan-Feb, pp 29-43.
  • Mohanram, P., 2005, “Separating Winners from Losers among Low Book-to-Market Stocks using Financial Statement Analysis”, Review of Accounting Studies, Vol. 10, No.2-3, pp 133-170.
  • Novy-Marx, R. and T. M. Arnold, 2013, “The Other Side of Value: The Gross Profitability Premium”, CFA Digest, Vol. 43, No. 2, May, pp 105-107.
  • Phalippou, L. - Click here to view published papers
  • Piotroski , J. D. and E. C. So, 2013, “Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach”, Review of Financial Studies, Vol. 25, No. 9, May, pp. 2841-2875.
  • Piotroski , J. D., 2000, “Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers”, Journal of Accounting Research, Vol. 38, Supplement: Studies on Accounting Information and the Economics of the Firm, pp. 1-41.
  • Richardson, S. - Click here to view published papers
  • Schill, M., M. Cooper and H. Gulen, 2010, “The asset growth effect in stock returns”,Journal of Investment Management, Vol. 8, No. 3, pp. 65-79.
  • Shleifer, A. - Click here to view published papers
  • Subrahmanyam, A., 2007, “Behavioural Finance: A Review and Synthesis”, European Financial Management, Vol. 14, No. 1., pp. 12-29.
  • Viceira, L. - Click here to view published papers
  • Vincent, S. 2001 “Is Portfolio Theory Harming Your Portfolio?” JARAF, Vol. 6, No. 1, pp. 2-13.
  • Yang, J., H. Guo, R. Savickas, and Z. Wang, 2005, “Is Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence”, Journal of Financial and Quantitative Analysis, Forthcoming.
  • Zhang, L., and R. Pertkova, 2005, “Is Value Riskier Than Growth?”, Journal of Financial Economics, Vol. 78, No. 1, pp. 187-202.
  • Zhang, L., 2005, "The Value Premium”, Journal of Finance Vol. 60, No. 1, pp. 67-103.
  • Zhang, L., J. F. Gomes, and L. Kogan, 2003, “Equilibrium Cross-Section of Returns”,Journal of Political Economy, Vol. 111, No. 4, August, pp. 693-732.

Studies and Research Papers

2) Working papers

  • Arnold, G.,  2007, “Return Reversal in UK Shares”, January.
  • Arnold, G., 2007, “Financial Statement Analysis and Return Reversal”.
  • Arnold, G., 2007, “Testing Benjamin Graham’s Net Current Asset Value Strategy in London”, January.
  • Athanassakos, G., 2014, “Are negative P/E ratio firms different than positive P/E firms? The case of interlisted vs. non-interlisted firms in Canada”, April.
  • Athanassakos, G., 2013, Separating winners from losers among value and growth stocks in different US exchanges: 1969-2011, December.
  • Bhattacharya, U., and N. E. Galpin, 2005, “Is Stock Picking Declining Around the World?”, November.
  • Billett, M., Z. Jiang, and L. Rego, 2010, “Does Customer Sentiment Contribute to Investor Sentiment: Glamour Brands and Glamour Stocks?”, May.
  • Blazenko, G., 2009, “Value Versus Growth in Dynamic Equity Investing”, December.
  • Boyle, P., L. Garlappi, R. Uppal, and T. Wang, 2009, “Keynes Meets Markowitz: The Tradeoff between Familiarity and Diversification”, February.
  • Cohen, R., C. Polk, and B. Silli, 2010,  “Best Ideas”, May.
  • Daniel, K. and T. J. Moskowitz, 2013, “Momentum Crashes”, September.
  • Doukas, J. -  Click here to view working papers
  • Fama, E. -  Click here to view working papers
  • Fong, W. M., 2008, “Investigating the Risk Argument for the Value Premium”, December.
  • Frazzini, A., D. Kabiller, and L. H. Pedersen, 2012, “Buffett’s Alpha”, May.

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Studies and Research Papers

3) Practitioner research

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