Gerakos and Linnainmaa have a new paper out: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2083166 and http://www.asb.unsw.edu.au/schools/bankingandfinance/Documents/J.Gerakos,%20J.T.%20Linnainmaa%20-%20The%20Unpriced%20Side%20of%20Value.pdf Here is code to perform the decomposition: http://faculty.chicagobooth.edu/juhani.linnainmaa/ValueDecomposition.do Summary Book-to-market (BE/ME) ratios explain variation [...]
Bob Pisani was on CNBC this morning chatting about whether or not the NYSE will open tomorrow. One of the biggest concerns on Wall Street [...]
My uncle, who happens to a professional fisherman down in Mexico, just sent me a link to an article on sportfishing. http://www.bdoutdoors.com/article/fishing-cabo-san-lucas-mexico/ The article actually has [...]
The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes [...]
The Persistence of Long-Run Abnormal Stock Returns: Evidence from Stock Repurchases and Offerings Fangjian Fu, Sheng Huang, and Hu Lin A version of the paper [...]
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 [...]
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: [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
Ferson, Sarkissian and Simin (2003) warn that persistence in expected returns generates spurious regression bias in predictive regressions of stock returns, even though stock returns are themselves only weakly auto correlated. Despite this fact a growing literature attempts to explain the performance of stock market anomalies with highly persistent investor sentiment. The data suggest, however, that the potential misspecification bias may be large. Predictive regressions of real returns on simulated regressors are too likely to reject the null of independence, and it is far too easy to find real variables that have “significant power” predicting returns. Standard OLS predictive regressions find that the party of the U.S. President, cold weather in Manhattan, global warming, the El Nino phenomenon, atmospheric pressure in the Arctic, the conjunctions of the planets, and sunspots, all have “significant power” predicting the performance of anomalies. These issues appear particularly acute for anomalies prominent in the sentiment literature, including those formed on the basis of size, distress, asset growth, investment, profitability, and idiosyncratic volatility.
Reinhart (and another Reinhart) and Rogoff have another paper in their series about "Why debt sucks."The title of their newest work is "Debt Overhangs: Past [...]
Jack and I are working on a new research paper that addresses a very simple question: Can investors improve their screening process by eliminating frauds, [...]
If you are unfamiliar with Valueinvestorsclub.com and you call yourself a "value investor," you've been missing out on the greatest value communities of all time. [...]
Measuring Economic Growth from Outer Space Vernon Henderson, Adam Storeygard, and David Weil. A recent version of the paper can be found here. Abstract: GDP [...]
Risk parity asset allocation systems seem to be all the rage these days. If you are unfamiliar with the strategy, Mebane Faber has some great [...]
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