Betting Against Days to Cover
Days to Cover and Stock Returns Hong, Li, Ni, et al. A version of the paper can be found here. Want a summary of academic papers [...]
Days to Cover and Stock Returns Hong, Li, Ni, et al. A version of the paper can be found here. Want a summary of academic papers [...]
There are many studies showing that models beat experts, including the meta-study "Clinical versus mechanical prediction: A meta-analysis" by Grove et al. (2000). However, given [...]
Among a certain set of people, the desire to be good at poker is just in their bones. Maybe it’s because they want to win [...]
This study was inspired by Ben Carlson's blog post a few months ago. Ben highlights Robert Hagstrom's book "The Warren Buffett Portfolio." The high level question is [...]
Rankings of Published Pricing-earnings Ratios and Investor Attention Jordan Moore A version of the paper can be found here. Want a summary of academic papers with [...]
Yesterday we wrote a post showing a potential way to time the market using valuation-based signals. In the past we have also examined how to use [...]
We've had a few posts showing that asset allocation systems relying on market valuation indicators (e.g., Shiller CAPE ratios) as a timing signal may end up [...]
As the proud father of 3 kids (to include 2 daughters), this set of papers, while a bit off the wall, made me smile a [...]
A recent IMF World Economic Outlook survey projected that in 2015-2016 advanced economies will grow at 2%-2.5% rate, while emerging and developing markets are growing [...]
The past few weeks we've highlighted a set of research papers that go back and forth on the validity of the Fama and French "5-factor [...]
Through the traditional lens of the efficient market hypothesis, market prices stick close to their fundamental values because professional investors with large amounts of capital [...]
Readers: We've updated the technology behind our free tools for financial professionals. Unfortunately, this took a long time, but now that we've developed the framework, we'll [...]
About a month ago we posted on the robustness of the Novy-Marx profitability factor, which is embedded in the Fama-French 5-factor. We also highlighted potential weaknesses in [...]
We sat down and did a quick and dirty analysis of the S&P sector ETFs on a YTD basis and over the past 2 months. [...]
Yesterday we posted a review on Ben's new book, A Wealth of Common Sense. We reached out to Ben and conducted a follow up Q&A. [...]
Wealthfront's CEO recently posted a hard-hitting blast against Betterment. The core argument was against Betterment's fees charged to small accounts ($3 / month for accounts with less [...]
Ben Carlson splashed onto the blog scene a few years ago with his hit website, aptly named, "A Wealth of Common Sense." My initial reaction was, "Oh [...]
Book-to-Market Equity, Distress Risk, and Stock Returns, by Griffin and Lemmon (2002 Journal of Finance) investigate the relationship between value premiums and distress risk. There [...]
Here is one of the figures in a Journal of Finance paper published in 2013 by N. Garleanu and L Pedersen. The figure depicts various [...]
The holy grail of financial markets is finding strategies that have misaligned risk and reward characteristics. In the traditional view, investors try to do the [...]
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