Insider Trading Patterns: Isolated vs. Sequenced Trading
Insider Trading Patterns David Cicero, and M. Babajide Wintoki A version of the paper can be found here. Abstract: "We document two patterns of informed [...]
The Military Industrial Complex has Arrived
A bit off topic, but definitely should play into macroeconomic themes and theses. The 2011 highest income counties in 2011 from the WP. http://www.washingtonpost.com/wp-srv/special/local/highest-income-counties/ The [...]
How to Identify High Quality Stocks, Continued (Part 3b of 4)
Suppose you had to sail across the Atlantic and were given a choice between making the crossing in either an 8 foot sailing dinghy, or [...]
Fight the Good Fight Against Fees, Tax Inefficiency
Everyone knows there is no such thing as a free lunch, but in investing you often have to pay for a lot more than just [...]
Cloud-Based Financial Advisers
Wall Street is VERY afraid! There are a wave of internet-based financial advisers working hard to save you fees. http://www.marketriders.com/ https://www.futureadvisor.com/learn_more https://www.wealthfront.com/ The Quick Math: [...]
Long Bonds–Long or Short?
Timely Portfolio has a great post about the magical long-bond. http://timelyportfolio.blogspot.tw/2012/08/bonds-much-sharpe-r-than-buffett.html The thesis he presents is clear: long bonds won't achieve what they've achieved over the past [...]
How to Identify High Quality Stocks (Part 3a of 4)
What does it mean to measure a business’ “quality” in the context of investing in common stocks? We try to answer this question in Part [...]
Congress can make you money? Yes, it is true!
Legislating Stock Prices Lauren Cohen, Karl Diether, Christopher Malloy A version of the paper can be found here. Abstract: "In this paper we demonstrate that [...]
How to Identify the Cheapest Stocks (Part 2 of 4)
This is the next installment in our series covering Turnkey Analyst’s approach to the holy grail of investing – how to identify low risk, high [...]
Do Decomposed Financial Ratios Predict Stock Returns and Fundamentals Better?
Do Decomposed Financial Ratios Predict Stock Returns and Fundamentals Better? Xiaoquan Jiang, Bong Soo Leei A version of the paper can be found here. Abstract: [...]
Risk Premia Harvesting Through Momentum
Risk Premia Harvesting Through Momentum Gary Antonacci A version of the paper can be found here. Abstract: "Momentum is the premier market anomaly. It is [...]
Will My Risk Parity Strategy Outperform?
Will My Risk Parity Strategy Outperform? Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg A version of the paper can be found here. Abstract: [...]
Analyzing Speech to Detect Financial Misreporting
Analyzing Speech to Detect Financial Misreporting Jessen L. Hobson, William J. Mayew, Mohan Venkatachalam A version of the paper can be found here. Abstract: "We [...]
Predicting Fraud by Investment Managers
Predicting Fraud by Investment Managers Stephen Dimmock and William Gerken A recent version of the paper can be found here. Abstract: We test the predictability [...]
Managing the Risks of Permanent Capital Impairment (Part 1 of 4)
This post is the first in a series that will discuss Turnkey Analyst’s approach to finding the holy grail of quantitative finance – a robust, [...]
Quantitative Value vs. Magic Formula Stocks
Here is a quick screen comparison between our Quantitative Value (described here) and the Magic Formula (screen results from here): click to enlarge click to enlarge [...]
Returns to Buying Negative TEV Firms
Who doesn't love the idea of buying something for nothing? Jack and I were intrigued with the concept of something for nothing and took a shot at [...]
The Death of Twitter Trading?
Almost a year ago, we posted a few articles on strategies focused on using Twitter as a mechanism to trade stocks. Our basic conclusion was [...]
Calculating Value Portfolios–Why Details Matter
The Devil in HML's Details Cliff Asness and Andrea Frazzni http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2054749 Key Points: Using a more real-time estimate for book-to-market (B/M) matters. Alphas from using [...]
Do Cash-Adjusted P/E Ratios Work?
A guest speaker in my lecture last week mentioned something interesting: Apple looks like a growth stock on a P/E basis, but when you strip [...]