Pay Attention to Friday Earnings Announcements!
Investor Inattention and Friday Earnings Announcements Steffano Dellavigna and Joshua M. Pollet A version of the paper can be found here. A formal write-up can be [...]
Fool.com Interviews
Mumbling, bumbling, and stumbling on a last minute interview with The Motley Fool, but there are few coherent bits in this interview. I've also got [...]
Reflections on Overconfidence.
The most therapeutic way I want to address overconfidence (probabilities associated with outcomes are bias. For example, I am "90% confident the market will be at 1000 [...]
Paying Attention in Geography Class…Pays!
Geographic Momentum Quoc H. Nguyen A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our free Academic [...]
Quant Value Book Excerpt
Tadas Viskanta was kind enough to share an excerpt from out book with his blog audience. If you want to check it out, click the [...]
For-Profit Education…became Profitable?
How cool would you have been yesterday if you walked into a cocktail party or a gaggle of investment professionals and told the group: I [...]
Should Diamonds be in Your Portfolio?
The Return Characteristics of Diamonds Kenneth Small, Jeffrey Smith, and Erika Engel Small A version of the paper can be found here. Want a summary of [...]
Improving Commodity Strategies with Momentum and Term Structure
Tactical allocation in commodity futures markets: Combining momentum and term structure signals Ana-Maria Fuertes, Joelle Miffre, and Georgios Rallis A version of the paper can [...]
Do Speculators Create Buying Opportunities?
Stock Duration and Misvaluation Martijn Cremers, Ankur Pareek, and Zacharias Sautner A version of the paper can be found here. Abstract: We study whether the presence [...]
Kitesurfing and Investing
I've been away the past few days drowning in saltwater trying to learn a new sport--kitesurfing. How did this all start? My younger brother lives [...]
Correlation-Based Allocation Review
Sanz Prophet has a very detailed and interesting review of an idea we proposed recently: Correlation-Based Allocation. We propose a model that is designed to [...]
Short Selling Bans Generally Don’t Work!
Public Service Announcement: To all the free-market pro-competition haters of the world that believe government regulation solves all our problems, please read the following paper. Short-Selling [...]
Quantitative Value is now available on Kindle–finally!
Sorry about the delay!
Herbalife (HLF): Is it a Fraud? Not likely.
Herbalife is currently a highly debated stock. On one side you have Bill Ackman claiming the firm is a ponzi scheme. On the other side [...]
Reviews of Volatility-Based Allocation
My research team at Empiritrage, LLC posted an interesting idea--very new and in need of further R&D--on volatility-based allocation: When Empiritrage released the initial report [...]
Simple Models Beat Experts: Even in Investment!
One of the more fascinating findings from psychology research is the empirical finding that simple models often beat experts. In other words, insights from your [...]
Ben Graham: Skill or Luck?
Toby has a great post on his blog: http://greenbackd.com/ http://greenbackd.com/2013/01/09/examining-benjamin-grahams-record-skill-or-luck/
Flexible Asset Allocation
Generalized Momentum and Flexible Asset Allocation (FAA) An Heuristic Approach Wouter J. Keller and Hugo S.van Putten A recent version of the paper can be [...]
New Tax Bill
Always fun to read the source document: http://www.gpo.gov/fdsys/pkg/BILLS-112hr8eas/pdf/BILLS-112hr8eas.pdf Amazing how many carve outs and special interest deductions there are in the tax code. Would anyone [...]