Overnight Momentum vs. Intraday Momentum
A Tug of War: Overnight Versus Intraday Expected Returns Lou, Polk and Skouras A version of the paper can be found here. Want a summary of [...]
Can You Afford Private School Tuition Costs?
I was recently asked by a local media outlet to comment on the costs of private school tuition. Wes suggested that I share these thoughts [...]
Are Some Decisions to Allocate to U.S. Equities Due to Survivorship Bias?
The CFA Institute Magazine recently published an interview (a copy is here) with C. Thomas Howard, CEO of Athena Investment Services. Howard has some pretty [...]
For an Auditor, Intuition Might Matter!
Thinking Fast versus Thinking Slow: The Effect on Auditor Skepticism Wolfe, Christensen and Vandervelde A version of the paper can be found here. Want a summary [...]
Another Wall Street Scheme: “Juicers”
Juicing the Dividend Yield: Mutual Funds and the Demand for Dividends Harris, Hartzmark and Solomon A version of the paper can be found here. Want a [...]
Where are the Cheap Firms Internationally?
Last week, Wes had a short post entitled, Where are the Cheap Firms? The post showed that when we look at the cheapest stocks in [...]
Quantitative Momentum Research: Price and Earnings Momentum
Momentum Strategies Chan, Jegadeesh and Lakonishok A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
Fundamental Investors Following Insider Filings–Beware!
Run EDGAR Run: SEC Dissemination in a High-Frequency World Rogers, Skinner and ZechmanA version of the paper can be found here.Want a summary of academic papers [...]
Manliness implies Misreporting?
Masculinity, Testosterone, and Financial Misreporting Jia, Van Lent and Zeng A version of the paper can be found here. Want a summary of academic papers with [...]
Where are the Cheap Firms?
Energy (mostly oil-related) and consumer discretionary (brick & mortar retailers). Cheap--or at least relatively cheap--based on enterprise multiples.
Predict Stock Returns Using the TREND of Profitability
The Trend in Firm Profitability and the Cross Section of Stock Returns Akbas, Jiang and Koch A version of the paper can be found here. Want [...]
Does “Sharpe Parity” work better than “Risk Parity?”
Strategies employing risk parity have been favored by mutual funds and other market participants the past few years. The attraction of risk parity strategies are [...]
Insights on ETMFs and ETFs from an ETF Service Provider
Our firm mission is to empower investors through education. One area of the marketplace where education is lacking is in the ETF, or exchange-traded-fund arena. [...]
Weekend Geekout: The History of Low Volatility Investing
Eric Falkenstein is an economist, with a PhD in economics, a quantitative geek, and a book writer. In his blog, Falkenblog, there are voluminous mind-blowing articles since [...]
Humble Pie Prevents 99.8% Drawdowns
It’s not every day you hear news of a 99.8% drawdown, but it looks like today is one of those days. Owen Li of Canarsie [...]
Why Indexing and “Smart Beta” Are So Popular
Asset Manager Contracts and Equilibrium Prices Buffa, Vayanos, and Woolley (2014) A version of the paper can be found here. Want a summary of academic papers [...]
Frequent Trading + Optimistic Analyst Recommendations = Significant Misvaluations!
Stock Duration, Analysts Recommendations, and Misvaluation Cremers, Pareek and Sautner A version of the paper can be found here. A blog on an older version of [...]
Quantitative Momentum Research: Short-Term Return Reversal
Fads, Martingales, and Market Efficiency Lehmann A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
The One Factor To Save Them All–Leverage
Financial Intermediaries and the Cross-Section of Asset Returns Adrian, Etula and Muir A version of the paper can be found here. Want a summary of academic [...]
Quantitative Momentum Research: Long-Term Return Reversal
Does the Stock Market Overreact? De Bondt and Thaler A version of the paper can be found here. Want a summary of academic papers with alpha? [...]