I just picked up a new copy of What Works on Wall Street, Fourth Edition: The Classic Guide to the Best-Performing Investment Strategies of All Time. If you are not familiar, O’Shaughnessy takes a look at all the factors that determine stock performance.
From size, to P/E, to momentum, to EBITDA/enterprise value, to multifactor models, to accruals, this is a wonderful book first published in 1996. The best part of this edition is that James includes all new CRSP data since 1929 were possible (Compustat really only begins in the 1960s).
One of my favorites! (I wonder if readers can guess what my favorite factor combo is…)
Some other good screening books are:
Quantitative Strategies for Achieving Alpha by Richard Tortoriello.
Haugen’s The Inefficient Stock Market .
Chinicari’s Quant Equity Portfolio Management.
Stock Selection – A Test of Relative Stock Values Reported Over 17-1/2 Years – Charles Kirkpatrick.
The Handbook of Equity Market Anomalies: Translating Market Inefficiencies into Effective Investment Strategies – Zacks.