Quite a few folks have reported difficulty finding the lagniappe that I mentioned over the long weekend. Apparently Soliman is no longer teaching at Stanford and the doc has been taken down. Oh, bother. Folks, that is one damn good reason to klep a copy of any file you find on the internets. You snoozey, you loozey.

This one was a find, with the articles and books referenced being worth easily five times as much as all the content written by the the five most popular market bloggers over the entire last five years, plus every article published on Seeking Alfalfa and Bozo!Finance combined.

Here are some quotes from the document, a syllabus of Stanford’s Accounting 508 “Trading Strategies and Fundamental Analysis” -

Course Description:

This class will teach students about trading strategies that have been shown to systematically beat the stock market over an extended period of time. All of the strategies use accounting information as a basis for fundamental analysis. The course will start with a discussion of efficient markets and basic valuation theory before moving on to present a variety of trading strategies whose success has been documented in the academic and practitioner literatures.

The beauty of this syllabus is its reading list:

Recommended Texts:

Lundholm, R. and R. Sloan, Equity Valuation and Analysis, 1st Edition, McGraw Hill, 2004.

Shleifer, A. Inefficient Markets: An Introduction to Behavioral Finance. Oxford University Press, 2000

Some of you readers know I’ve got 100s of megs of PDFs on the laptop, and I’ve either read or klept a copy of just about all of the ones below that I thought sounded good. If you’re interested in a rational and quantitative approach to making money in the markets, perhaps you should looks some of these up.

Some of the papers and articles referenced in the syllabus:

Lee, C. M. C., 2001, Market efficiency and accounting research, Journal of Accounting and Economics 31, 233-253.

Fama, E., 1991, Efficient capital markets: II, Journal of Finance 46, 1575-1618.

Grossman, S., and J. E. Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review 70, 393-408.

Shleifer, A., and R. W. Vishny, 1997, The limits of arbitrage, Journal of Finance 52, 35-55.

Black, F. 1986. “Noise” Journal of Finance, 41:529-43.

Foster, G., C. Olsen and T. Shevlin. “Earnings Releases, Anomalies and the Behavior of Security Returns.” The Accounting Review (October), 574-603.

Bernard and Thomas. 1989. “Post-earnings announcement drift: delayed price response of risk premium?” Journal of Accounting Research supplement 27:1-36.

Bernard, V, and J. Thomas, 1990, “Evidence that stock prices do not fully reflect the implications of current earnings for future earnings.” Journal of Accounting and Economics 13, 305-341.

Frankel, R., Lee, C. 1998. “Accounting valuation, market expectation, and cross-sectional stock returns.” Journal of Accounting & Economics 25, 283-319.

Bushee, B. and J. Ready. 2003. “Factors Affecting the Implementability of Stock Market Trading Strategies.” Journal of Accounting & Economics, Forthcoming.

Abarbanell, J. and V. Bernard. 1992. “Test of Analysts’ Overreaction/ Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior.” Journal of Finance 47 (July): 1181-1207.

Doyle, Lundholm and Soliman. 2004. “Extreme Earnings Returns to Extreme Earnings Surprises.” Working Paper, University of Michigan.

Sloan, R. 1996. “Do stock prices fully reflect information in accruals and cash flows about future earnings?” The Accounting Review 71, 289-316.

Doyle, Lundholm and Soliman. 2003. “The Predictive Value of Expenses Excluded from ‘Pro Forma’ Earnings.” Review of Accounting Studies, 8, 145-174.

New York Times – When those one-time Expenses have a refrain.

Barth, M. and A. Hutton. 2004. “Analysts Forecast Revisions and the Pricing of Accruals.” Review of Accounting Studies. 9, 59-96.

Xie, H. 2001. “The Mispricing of Abnormal Accruals.” The Accounting Review 76: 357-373.

Richardson, Sloan, Soliman and Tuna 2004. “Accrual Reliability, Earnings Persistence and Stock Prices.” Working Paper, University of Michigan.

’Focus on Non-Current Accruals’ – Credit Suisse Boston.

Chan, L. and J. Lakonishok. 2004. “Value and Growth Investing: Review and Update.” Financial Analysts Journal. Jan/Feb Vol. 60, 71-86.

Fama and French. 1993. “Common Risk Factors in the Returns of Stocks and Bonds.” Journal of Financial Economics 33:3-56.

Lakonishok, Shleifer, Vishny. 1994. “Contrarian Investment, Extrapolation and Risk” Journal of Finance 49:1541-1578.

Dechow, Sloan and Soliman. 2004. “Implied Equity Duration: A New Measure of Equity Security Risk.” Review of Accounting Studies, forthcoming.

Basu, S. 1977. “Investment Performance of Common Stocks in Relation to their Price-Earnings Ratios: A test of the Efficient Market Hypothesis.” Journal of Finance 32: 663-682.

Chan, L., N. Jegadeesh and J. Lakonishok. 1996. “Momentum strategies.” Journal of Finance, 51, 1681-1713.

Skinner, D. and R. Sloan. 2002. “Earnings Surprises, Growth Expectations and Stock Returns or Don’t Let an Earnings Torpedo Sink Your Portfolio.” Review of Accounting Studies, 7. 289-312

Core, Guay, Richardson and Verdi. 2004. “Stock Market Anomalies: Corroborating Evidence from Repurchases and Insider Trading.” Working Paper, Wharton School of Business.