Another issue: We don't really know where Amazon is spending so much money. The company has notoriously poor disclosure, only breaking out revenue for broad categories.
That said, the company is unlikely to ignore frustrated investors forever. And If Amazon starts showing a little financial discipline, it could be rewarded with a rebound in its share price.
Indeed, Amazon is the cheapest it has been in quite some time: The company's enterprise value, adjusted for cash, is 15.6 times 2015 consensus earnings before interest, taxes, depreciation, and amortization—a level it hasn't reached since 2010.
Where does Amazon spend its money? On top of the company's experiments at home, it is probably spending serious money expanding into large markets abroad. While the size of the investment is unknown, Amazon has worked hard to get a foothold in China, a potentially enormous opportunity. The trouble there is that Chinese companies like Alibaba and JD already dominate their home country, and it could take years for Amazon to make serious headway.
The story could be similar in other countries. Wells Fargo analyst Matt Nemer points out the company is also expanding in India and Japan. While those markets could eventually pay off, they are likely costing Amazon a significant amount of money, he said.
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The good news is some costs will probably fall naturally in the near future. Amazon's cloud-based data storage business, for instance, may be a drag on profits at the moment as the company builds new facilities. But those costs should soon taper down as Amazon establishes a significant presence overseas.
And while the cloud business may not contribute much to profits now, it may one day be more profitable that Amazon's bread-and-butter retail business. Just consider the profits at Rackspace, a company with a similar cloud business. Rackspace has an Ebitda margin north of 30 percent versus a margin of about 7 percent for Amazon.
Amazon's costs will probably stay on the rise for some time. The real hope is that they'll grow at a more reasonable rate—similar to revenue growth. Indeed, it would be risky to deprive Amazon of the experimental culture that Bezos has instilled over the last two decades. As Nemer says, "You can complain but you still want Bezos running the show."
Amazon spokesman Craig Berman didn't reply to a request for comment from CNBC.