Behavioral Bias Bingo: Decoy Effect
“When my information changes, I alter my conclusions. What do you do, sir?” - John Maynard Keynes How does the Decoy Effect work? Here is [...]
Own the Stock and Sell Calls: Guaranteed Win, Right?
Covered Calls and Their Unintended Reversal Bet Israelov and Nielsen A version of the paper can be found here. Want a summary of academic papers with [...]
Biased Analysts Create Big Profits?
'Consistent' Earnings Surprises Hwang, Liu, and Lou A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Gross Profits isn’t a Silver Bullet for Valuation Measurement!
Deflating Profitability Ball, Gerakos, Linnainmaa, and NikolaevA version of the paper can be found here.Want a summary of academic papers with alpha? Check out our Academic Research [...]
Behavioral Bias Bingo: Trophy Effect
Hard work ≠ Value "Imagine you play in a tennis tournament at your local club. As your opponents are of the same strength as you, [...]
Shareholder Yield: Do longer-term calculations enhance performance?
Wes and I have a recent paper (found here) which examines a more complete measure of shareholder yield (dividends, net stock repurchases, and debt reduction). Here [...]
Predicting Mental Defects: Does the Model or the Expert Win?
Clinical intuition and test scores as a basis for diagnosis Klehr, R. Journal of Consulting Psychology, 13, 34-38 An online version of the paper can [...]
Can Market Valuations Be Effective Market-Timing Signals?
We know that valuation metrics such as the CAPE, or Shiller P/E, ratio are correlated with long-term returns (notice we didn't say "predict" long-term returns--that is [...]
Profit from the Conference Call Participant List!
Analyst Interest as an Early Indicator of Firm Fundamental Changes and Stock Returns Jung, Wong, Zhang A version of the paper can be found here. Want [...]
World Cup results affect stock markets?
Sports Sentiment and Stock Returns Edmans, Garica, and Norli A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Behavioral Bias Bingo: Disposition Effect
Sell Winners Too Early and Hold Losers Too Long Researchers have explored the "disposition effect" for years, which describes how investors are more likely to sell [...]
Low Short Interest Dominates Low Vol Strategies
The Long and Short of the Vol Anomaly Jordan and Riley A version of the paper can be found here. Want a summary of academic papers [...]
Behavioral Bias Bingo: The Affect Heuristic
How do your feelings affect your decisions? "Humans perceive and act on risk in two fundamental ways. Risk as feelings refers to individuals' instinctive and [...]
Global Market Valuations based on EBIT/TEV
We ran some numbers on the large liquid universe of stocks (>2B USD) traded in EAFE countries. In total there are 1086 names in the [...]
Betting Against Beta or Demand for Lottery?
Betting Against Beta or Demand for Lottery Bali, Brown, Murray, and Tang A version of the paper can be found here. Want a summary of academic [...]
Do Hedge Funds Frontrun Mutual Funds?
Are Mutual Funds Sitting Ducks? S. Shive and H. Yun A version of the paper can be found here. Want a summary of academic papers with [...]
Post Earnings Announcement Drift and Value/Growth Anomaly
When Two Anomalies Meet: The Post – Earnings Announcement Drift and the Value – Glamour Anomaly Yan and Zhao A version of the paper can [...]
Do Hedge Funds Destroy Investor Value?
The Cost of Capital for Alternative Investments J Jurek and E Stafford A version of the paper can be found here. Want a summary of academic [...]
Alliances and Return Predictability
Alliances and Return Predictability Cao, Chordia, and Lin A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
Earnings Growth Rate Mean-Reversion–it’s Science
We're often asked: Why does value investing work? You guys simply buy crappy high-risk companies. Of course you outperform. I typically agree with claims that [...]