This is a collection of timeless pieces, a treasure, that I believe are a must read for anyone who wants to advance their knowledge of the markets.
Priceless Papers
Value Investing: The Use of Historical Financial Statements to Separate Winners from Losers – academic paper by professor Joseph Piotroski which shows that by combining a 9-factor binary model to filter the low Price to Book companies, one could outperform the market.
Predicting Financial Distress of Companies: Revisiting the Z-Score and Zeta Models – Edward Altman’s paper on the famous Z-Score that is used to predict bankruptcy. This paper includes the variations to the model to account for non-manufacturing, private companies and emerging markets.
The Predictable Cost of Earnings Manipulation – Beneish shows that investors can use publicly available information to assess the probability of earnings manipulation
Value_for_money: Barclays_Equity_Valuation_Academy – the paper shows value screens and models they have tested and their performance.
What Does a Price-Earnings Multiple Mean? – a must read paper by Michael J. Mauboussin and Dan Callahan of Credit Suisse that discusses PEs and their relationship to growth and theory.
Value and Momentum Everywhere – Clifford Asness, Tobias Moskowitz and Lasse Heje Pedersen look at value and momentum across eight markets and asset classes.
Liquidity as an Investment Style – the researchers test stock turnover is an indicator of long run returns.
