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 [...]
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 [...]
How to Build Expected Return Forecasting Models
Investors are enamored with various investment houses and personalities who claim insight into the prospects for long-term expected market returns. Some classic examples include Nouriel Roubini, John Hussman, David Rosenberg, or Jeremy Grantham. All really smart people. But have you ever asked "How" these folks came to their conclusions? In most cases, the answer is probably "No" and the reason is because there is a lack of transparency from the author(s) and/or a lack of knowledge/understanding on behalf of the reader. We also want to highlight that one can develop incredibly complex return forecasting models -- super sexy, super interesting, super compelling, etc. -- but that still doesn't mean they are any good at forecasting much of anything.
Walmart delivers Low Prices…and High Home Prices
When Walmart Comes to Town: Always Low Housing Prices? Always? Devin Pope and Jaren Pope A version of the paper can be found here. Want a [...]
Using Div Yield to Predict Returns: A lesson in Predictive Regressions
Filip Lacerda and Pedro Santa-Clara have an interesting paper that investigates the use of dividend growth to predict future returns. Here is the abstract: The [...]
Behavioral Bias Bingo: Confirmation Bias
Confirmation bias leads to the selective use of information It is easy to obtain confirmations, or verifications, for nearly every theory - if we look [...]