Recently Discovered Academic Finance Research You Might Have Missed: Understanding Dual, Relative, and Absolute Momentum (Gary Antonacci) Long-short Strategy Simulation based on Front-Page Articles in the [...]
The Market for Lemmings: Is the Investment Behavior of Pension Funds Stabilizing or Destabilizing? Pension funds are large institutional investors, and yet very little is [...]
Executive Summary Although it has been very difficult to overcome our initial skepticism, we've finally accepted the notion that simple technical analysis may serve as [...]
Got a great story on an S&P 500 index fund that you won't believe. Consider a S&P 500 Index Fund with $2B in assets that charges a [...]
Lending Booms, Smart Bankers and Financial Crises This paper develops a theory that explains why financial crises follow profitable lending booms. When agents exhibit the [...]
Anchoring on Credit Spreads Dougal, Engelberg, Parsons, and Wesep A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
We investigate various methods to express a 10-Year Treasury Bond allocation. The primary issue with Treasury Bonds is their lack of tax-efficiency. T-bond income (and [...]
Recently Discovered Research You Might Have Missed: Back test a set of trading rules from 1870 to 2010 (Zakamulin) A comparison of investor sentiment indicators (The [...]
A friend of the blog was inspired by our Robust Asset Allocation discussion, and conducted some backtests using our proposed risk management framework: 50% simple moving average [...]
Over the past 10+ years I've cultivated a laundry list of websites associated with financial economics. My primary focus has been identifying sources for new ideas that [...]
Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907 Using a new daily dataset for all stocks traded on the New York [...]
Dong Lou splashed on the academic scene in 2009 and boy has he been busy! Prof Lou has some great papers out there that have [...]
The Liquidation of Government Debt Carmen Reinhart and M. Belen Sbrancia A version of the paper can be found here A video of Prof. Reinhart [...]
State Capitalism vs. Private Enterprise We study the efficiency of internal capital markets at state-controlled and privately owned business groups in China. Using highly granular [...]
The Value of Crowdsourced Earnings Forecasts Crowdsourcing — when a task normally performed by employees is outsourced to a large network of people via an [...]
Beware of any investment that has the word, "yield," embedded in the title. This is especially important for "dividend yield" strategies. Because the term makes investors [...]
Trading on Noise: Moving Average Trading Heuristics and Private Investors Etheber, Hackethal and Meyer A version of the paper can be found here. Want a summary [...]
Higher‐Moment Risk Exposures in Hedge Funds This paper singles out the key roles of US equity skewness and kurtosis in the hedge fund return generating [...]
Recently Discovered Research You Might Have Missed: Momentum Crash Management (Mahdi Heidari) The Risk Anomaly Tradeoff of Leverage (Baker and Wurgler) 3 Factor Dual Momentum: Value, [...]
Patrick and I will be at the event in Scottsdale, AZ next Monday March 23 --March 25. If you wanna drink a beer with a [...]
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