Is the Chronic Unemployment Here to Stay?
The famous (perhaps infamous to some folks) John Maynard Keynes has a great quote related to technological unemployment from his essay, "Economic Possibilities for our [...]
ETF and Mutual Fund Taxation: Remind Me Again Why Mutual Funds Exist?
Many mutual funds will be sending you a very special gift in the coming weeks -- their annual capital gains distributions. Mutual fund investors get [...]
How many times has the S&P 500 been over 32%?
What's your guess? Seriously, before looking at the answer below... And the answer is... scroll. scroll. scroll. scroll. scroll. scroll. scroll. scroll. scroll. scroll. scroll. [...]
The Rocky Road to Economic Liberalization in China
China's banks are being buffeted by the winds of change. Earlier this month, the Shanghai Composite had its longest losing streak in 19 years, which [...]
The Psychology of Scarcity: Part 1 of 2
"…The inconveniences of a real scarcity cannot be remedied; they can only be palliated.” - Adam Smith, Chapter V, The Wealth of Nations As Adam [...]
High Payout Ratios Predict Higher Earnings Growth–Huh?
Every quarter, boards across America wrestle with the complex question of dividend policy. Perhaps the company has excess cash that should be paid out as [...]
Is Volatility for Misguided Geeks?
Warren Buffett doesn’t like it when people use volatility to measure risk. He succinctly describes his criticism: We bought The Washington Post Company at a [...]
What is Behavioral Finance?
Behavioral finance means a lot of things to a lot of people. In this short piece I'll outline what "behavioral finance" means to academic researchers. [...]
Understanding the Relationship between Stock Prices and Earnings
Stock Prices and Earnings: A History of Research Patricia M. Dechow, Richard G. Sloan, and Jenny Zha A version of the paper can be found here. [...]
Systematically Executing a Value Investment Philosophy
https://www.nantucketproject.com/wes-gray-from-concept-to-reality The story of our quantitative value algorithm as told at the Nantucket Project: [youtube url="http://youtu.be/3I9y2D5-Ol4"]
International Shareholder Yield is Live!
Meb and team launched an international version of his shareholder yield ETF. Very cool. I'm most impressed with the logo--last time I saw an elephant [...]
Are NFL Betting Markets Inefficient?
An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC Thomas W. Miller Jr. and David E. Rapach A version of the paper can [...]
Quant Jocks and Tire Kickers
I just love the title of this paper... A job market paper for a PhD student (Jane Zhao) who was on the market a few [...]
Ben Graham Cigar Butt Hunting–Size Matters
Interesting paper: https://faculty.biu.ac.il/~lauteb/data_794/Ben_Graham.pdf Abstract: The study demonstrates how size controls can alter the outlook of an investment strategy. The Ben Graham net current asset value rule [...]
Pensions and the Tragedy of the Flypaper Effect
Arthur Okun showed that "money sticks where it hits," just a flies do to flypaper. Almost everyone has used flypaper from time to time. If [...]
Formula Investing SMA Transition
Dear Readers: Joel Greenblatt has attracted a lot of followers based on the success of his book, “The Little Book that Beats the Market,” and [...]
Happy Thanksgivukkah!
Thanksgiving. Hanukkah. Why not Thanksgivukkah? Below, one of my partners hopped on his Bloomberg and plotted out some interesting time series: Turkey spot prices. Hanukkah [...]
Predicting Stock Returns with Investor Sentiment
Market participants often claim that investor sentiment matters for stock returns. This premise was formally studied by Malcolm Baker and Jeffrey Wurgler in their landmark [...]
Polish Size, Value, and Momentum
Momentum, Value, and Size and Liquidity Factors in the Polish Market Adam Zaremba and Przemyslaw Konieczka A version of the paper can be found here. Want [...]
Investment Cruise with CFA and Wiley Authors
Beautiful weather, sun, ocean, and...my ugly mug chatting about finance with some fellow authors--including my fellow blogger, Meb! A fun event in the making... Details below. [...]