A New Take on the Active vs. Passive Debate
Passive versus Active Fund Performance: Do Index Funds Have Skill? Alan Crane, Kevin Crotty A version of the paper can be found here. Want a [...]
Behavioral Bias Bingo — Mental Accounting
Mental Accounting and Your Money "Mr. and Mrs. L and Mr. and Mrs. H went on a fishing trip in the northwest and caught some [...]
Gobs of Awesome Value Investing Research
I'm sure most of you know about this resource, but if not, check it out! The Ben Graham Centre for Value Investing: http://www.bengrahaminvesting.ca/Research/Academic_Research/published_papers.htm Empower yourself [...]
Can Mutual Funds become Hedge Funds? No.
Investment Restrictions and Fund Performance Clifford, Fulkerson, Hong, and Jordan A version of the paper can be found here. Want a summary of academic papers with [...]
A Surprising Way to time Value and Momentum: Updated Analysis
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns K Oversby A version of the paper can be found here. Want a summary of academic papers with [...]
Interesting Tactical Asset Allocation Tool: Value portfolios
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns Kevin Oversby A version of the paper can be found here. Want a summary of academic papers with [...]
20 Quant Value Books @ Liquidation Prices
We've got a box of books (20 copies) in the office that we want to share with our readers at a discount. We posted them to Amazon.com [...]
Tactical Asset Allocation During Cheap Markets
In our last post, we looked at tactical allocation using valuation metrics and trend-following measures. Our conclusion from the analysis is that discerning robust trading [...]
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 [...]
Inspiring Market Efficiency Results…NOT!
Yes, it is true, lower risk securities have historically outperformed higher risk securities. We've seen this in a variety of academic research pieces, but sometimes [...]
Behavioral Bias Bingo — The Illusion of Control
The Illusion of Control In most elevators, at least in any built or installed since the early nineties, the door-close button doesn’t work. It is there [...]
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 [...]
Old School Academics on Moving Average Rules: Remarkable.
Simple Technical Trading Rules and the Stochastic Properties of Stock Returns Brock, Lakonishok, and LeBaron A version of the paper can be found here. Want a [...]
Using Utilities to Time the Market
Strategy Background Beta Rotation strategy (BRS) is discussed by Charles Bilello and Michael Gayed in their new paper, “An International Approach to Beta Rotation: The [...]
Forecasting Bias: From Weather to Wall Street
Providers of forecasts often want to be right, but they also don’t enjoy surprising people on the downside. People don’t like nasty surprises. For instance, [...]
Do Behavioral Biases affect PGA Tour players?
Is Tiger Woods Loss Averse? Persistent Bias in the Face of Experience, Competition, and High Stakes Pope and Schweitzer A version of the paper can [...]
Time to Trade in Your Doctor for an Algo?
Artificial intelligence in the diagnosis of low-back pain and sciatica Mathew, B., Norris, D., Hendry, D., & Waddell, G. Spine, 13, 168-172 An online version [...]
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 [...]
Mythbuster: Are women more talkative than men?
Using sociometers to quantify social interaction patterns Note: this is not related to finance, but a fun study we found while perusing economic and behavioral [...]
A Simulation Study on Simple Moving Average Rules
The mention of technical analysis in the halls of academia can cause serious angst. The disdain for technical analysis likely stems from a firm belief that [...]