Attention Prop Traders: The first half hour of trading predicts the last half hour…
Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return Gao, Han, and Zhou A version of the paper can be found here. Want a [...]
The Remarkable Truth about 52-Week High Stocks
Pop quiz: A stock you own just hit a 52-week high... Does it make you nervous? On Wall Street, there are many highly publicized metrics that [...]
Value investing: Can you withstand the pain?
So the market took a tumble today--Feeling pain? Feeling emotional? Expecting the downward trend to continue? Be careful, your system 1 is terrorizing your ability [...]
Momentum Investing: Ride Winners and Cut Losers. Period.
Momentum has historically been a great strategy. Although counter-intuitive to many value investors, buying stocks with rising prices has been a great investment approach--arguably better than value investing. Moreover, the approach is robust between the 2 samples analyzed. The lesson is clear: Let your winners ride and cut your losers short.
Timing the Market with Mean Reversion Indicators
Mean Reversion, Momentum and Return Predictability Huang, Jiang, Tu, Zhou A version of the paper can be found here. Want a summary of academic papers with [...]
Does the Small-cap “size” effect exist? Probably.
The traditional small-minus-big value-adjusted long/short factor (SMB) developed by Gene Fama and Ken French has arguably added NO value over time. Performance over the past 30 years [...]
Value Investing: Never Buy Expensive Stocks. Period.
We did a recent internal simulation study on the performance of cheap and expensive stocks based on a variety of valuation metrics. We looked at [...]
Gross Profits isn’t a Silver Bullet for Valuation Measurement!
Deflating Profitability Ball, Gerakos, Linnainmaa, and NikolaevA version of the paper can be found here.Want a summary of academic papers with alpha? Check out our Academic Research [...]
Shareholder Yield: Do longer-term calculations enhance performance?
Wes and I have a recent paper (found here) which examines a more complete measure of shareholder yield (dividends, net stock repurchases, and debt reduction). Here [...]
Can Market Valuations Be Effective Market-Timing Signals?
We know that valuation metrics such as the CAPE, or Shiller P/E, ratio are correlated with long-term returns (notice we didn't say "predict" long-term returns--that is [...]
Low Short Interest Dominates Low Vol Strategies
The Long and Short of the Vol Anomaly Jordan and Riley A version of the paper can be found here. Want a summary of academic papers [...]
Global Market Valuations based on EBIT/TEV
We ran some numbers on the large liquid universe of stocks (>2B USD) traded in EAFE countries. In total there are 1086 names in the [...]
Betting Against Beta or Demand for Lottery?
Betting Against Beta or Demand for Lottery Bali, Brown, Murray, and Tang A version of the paper can be found here. Want a summary of academic [...]
Post Earnings Announcement Drift and Value/Growth Anomaly
When Two Anomalies Meet: The Post – Earnings Announcement Drift and the Value – Glamour Anomaly Yan and Zhao A version of the paper can [...]
Has Momentum Been “Arbed” Away?
Momentum Has Not Been 'Overgrazed': A Visual Overview in 10 Slides Claude B. Erb A version of the paper can be found here. Want a summary [...]
Growth Beats Value…but with a lot of help!
When Growth Beats Value: Removing Tail Risk From Global Equity Momentum Strategies Clare, Seaton, Smith, and Thomas A version of the paper can be found here. [...]
P/E Performance in Australia and New Zealand
The Predictive Ability of P/E Ratio: Evidence from Australia and New Zealand Basu and O'Shea A version of the paper can be found here. Want a [...]
Does Value Investing Work in the Technology Sector?
A recent blog post suggests that value investing in the tech sector is a waste of time. The article tells a compelling story and argues for 2 points: Successful tech stock investing is done when the stocks are dear, not when they are cheap. Tech companies should not get credit for huge piles of cash on their balance sheets. The author then makes the claim that you can't make big money in cheap tech stocks and buying cheap tech doesn't work. We thought the blog post was thought-provoking and it inspired us to conduct a quick empirical analysis to ascertain if there was any truth to the claims.
Low Volatility Anomaly Lacks Robustness?
Question: How many ETF companies are hawking "Smart" beta products that offer low volatility or low beta portfolios (we could probably throw minimum volatility in [...]
High Payout Ratios Predict Higher Earnings Growth–Huh?
Every quarter, boards across America wrestle with the complex question of dividend policy. Perhaps the company has excess cash that should be paid out as [...]