Textual Analysis and Trading Strategies
When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks. Tim Loughran and Bill McDonald A published version of the paper can be [...]
More Magic Formula Analysis
As a professor by day, I spend a lot of time doing research and studying financial data. Recently, my research assistant and I have been [...]
Follow the Short-Sell Demand
Supply and Demand Shifts in the Shorting Market Lauren Cohen, Karl B. Diether and Chirstopher J. Malloy A version of the paper can be found [...]
How “Magic” is Magic Formula Investing?
The underlying concept of magic formula investing is a genius marketing platform, but it is unclear how "magic" the formula actually is--examine 'cheapness,' examine 'quality,' combine [...]
Institutional Investor on Twitter Trading
Institutional Investor has an article related to trading on Tweets. Here is our take on the trading strategy We are quoted in the article: "Not everyone [...]
The Ultimate Short Book.
Identifying Overvalued Equity Messod Beneish and Craig Nichols A version of the paper can be found here. Live implementation data can be found at Empirical Finance [...]
Quantitative versus Fundamental Value–Let’s get ready to RUMMMBLE!
I like to laugh, and I hope you to do. We put together a short video highlighting the intellectual battle between quantitative investors and fundamental [...]
Long-Term Trendspotting: Demographics Matter
Demographic Changes, Financial Markets, and the Economy Robert Arnott and Denis Chaves A version of the paper can be found here. Abstract: It seems natural [...]
Technical Analysis may actually work!
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis Yufeng Han, Ke Yang, and Guofu Zhou A version of the paper can be found here. [...]
Is Trading with Twitter only for Twits?
Tweets and Trades: The Information Content of Stock Microblogs Timm Sprenger and Isabell Welpe A version of the paper can be found here. Abstract: Microblogging [...]
Ben Graham Trading Rules Backtest
Our recent Ben Graham post generated a lot of interest and a LOT of emails. One of the more interesting questions asked was, "How does [...]
Backtesting Ben Graham
Charles Mizrahi, over at http://www.hiddenvaluesalert.com/, suggested we backtest a simple Ben Graham strategy mentioned in a 1976 article he dug up in Medical Economics. Charles has been [...]
Goodwill Gone Bad
Have Goodwill Accounting Gone Bad? Kevin Li and Richard Sloan A version of the paper can be found here. Live implementation data can be found [...]
Satisfying Employees: A Satisfying Investment Strategy?
Are you trying too hard? Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices. Alex Edmans A version of the paper can be [...]
Asset Growth Across Countries
A new working paper investigates the asset growth anomaly across multiple countries and finds that the effect is fairly robust. Here is the link to [...]
Don’t Short Sell the Value of Fundamentals!
The Role of Fundamental Analysis in Information Arbitrage: Evidence from Short Seller Recommendations Hemang Desai, Srinivasan Krishnamurthy and Kumar Venkataraman A version of the paper [...]
Dual-Class Shares: A First-Class Strategy
Mispricing of Dual-Class Shares: Profit Opportunities, Arbitrage, and Trading Paul H. Schultz and Sophia Shive A version of the paper can be found here. We maintain [...]
Disasters and Investing
Sentiment and Stock Prices: The Case of Aviation Disasters Guy Kaplanski and Kaim Levy A version of the paper can be found here. Abstract: Behavioral economic [...]
The Good News in Short Interest
http://www.reuters.com/article/2011/02/10/us-shortsellers-study-idUSTRE71973620110210
Talking Your Book–Make it Part of Your Investment Program
"We study how professional investors use social networks to impound price-relevant information into asset prices. Exploiting novel data from an online social network that facilitates information sharing among fund managers, we find that long (short) recommendations released into the private network generate cumulative abnormal returns of 3.61% (-4.90%) over a twenty-day window. These results suggest that social networks play a direct role in facilitating the price discovery process."