We are Alive at Channel 111! Join us on Sirius Radio
OK...so not the greatest photo of yours truly, but having a great chat with Dr. Jeremy Siegel and Jeremy Schwartz on Sirius XM Business Radio! [...]
Are Mutual Funds Short-Seller Whipping Boys?
Do Short-Sellers Profit from Mutual Funds? Evidence from Daily Trades Arif, Ben-Rephael and Lee A version of the paper can be found here. Want a summary [...]
Chatting Quant Value @ Wharton Today–Business Radio
http://businessradio.wharton.upenn.edu/programs/behind-the-markets-with-jeremy-siegel/ I'll be chatting with the "Jeremys" on Sirius Radio on Business Radio Channel 111. @ 1pm EST Hosts Jeremy Siegel Professor Jeremy Siegel is [...]
ETF Market Making–Very Cool Insider Insights
Have you ever wondered how ETF trading actually works? Most people think ETFs trade "just like stocks." These people are wrong. While there are similarities between individual [...]
Earnings Seasonality and Stock Returns
Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns Chang, Hartzmark, Solomon and Soltes A version of the paper can be found here. Want a [...]
Mission Impossible: Beating the Market Forever
A quick glance at the most recent Berkshire Hathaway annual report (PDF) highlights an amazing data point: Warren Buffett has compounded at 19.7% a year from 1965 through 2013; the S&P 500 Total Return Index has compounded at 9.8% a year from 1965 through 2013. The immediate reaction to these figures is predictable: “Warren Buffett is an investing god, so we should buy Berkshire Hathaway and throw away the keys.” The gut reaction is that Buffett can continue to beat the market forever. Unfortunately, as this post highlights, this is an impossible feat.
Does Doubling Down Work?
Doubling Down Jonathan Rhinesmith A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap [...]
Quantitative Value Research: NCAV/MV Factor
Testing Benjamin Graham's Net Current Asset Value Strategy in London Xiao and Arnold A version of the paper can be found here. Want a summary of [...]
Does Option Implied Volatility Predict Stock Returns?
The Joint Cross Section of Stocks and Options An, Ang, Bali and Cakici A version of the paper can be found here. Want a summary of [...]
Meb Faber’s Affordable Global Momentum Fund
Anyone reading this blog is probably familiar with Meb Faber. Before getting into a review of his newest project and ETF offering, I wanted to [...]
Do Financial Experts Make Better Investment Decisions?
Do Financial Experts Make Better Investment Decisions? Bodnaruk and Simonov A version of the paper can be found here. Want a summary of academic papers with [...]
Thanks to Our Vets
I have the privilege to work with 2 partners who served in the Marine Corps from 2004-2008: Captain Wes Gray and Captain Pat Cleary. Both [...]
The Secret to Momentum is the 52-Week High???
The 52-Week High and Momentum Investing Thomas J. George and Chuan-Yang Hwang A version of the paper can be found here. Want a summary of academic [...]
Quantitative Value Research: Long-term P/E Ratio
The Long-Term Price-Earnings Ratio Anderson and Brooks A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Does Benchmarking Affect Asset Prices?
The FT has a great piece called the "Risk-Return relationship has been upended." The premise is that benchmarking distorts markets. The article inspired me to [...]
Stock Anomaly Smorgasbord–Wow!
Digesting Anomalies: An Investment Approach Hou, Xue, and Zhang A version of the paper can be found here Want a summary of academic papers with [...]
Mind the Gap: A Way to Enhance Momentum Profits
The Momentum Gap and Return Predictability Simon Huang A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
Face-ripping Drawdowns and the Magic Formula
Due to a surge of interest from our "Long Cheap; Short Expensive. Buyer Beware" post, we decided to analyze the impact of changing the net exposure of the Magic [...]
Quantitative Value Research: Weighted P/E Bracket
Decomposing the Price-Earning Ratio Anderson and Brooks A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Long Cheap; Short Expensive. Buyer Beware.
A recent New York Times article examines the story of Joel Greenblatt, author of "The Little Books That Beats the Market." Joel has leveraged this book [...]