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. [...]
Black Friday, Retailers and the Availability Heuristic
The term “Black Friday” has been used for many years to describe the day after Thanksgiving, which for retailers marks the beginning of the holiday [...]
Asset Managers with a PhD Outperform…
What a Difference a Ph.D. Makes: More than Three Little Letters Chaudhuri, Ivkovich, Pollet, and Trzcinka A version of the paper can be found here. Want [...]
Congress is Insider Trading
Informed Trading at Capitol Hill: Evidence from Congressional Trading Serkan Karadas A version of the paper can be found here. Want a summary of academic papers with [...]
Don’t Pay Attention to CNBC CEO Interviews!
CEO Interviews on CNBC Young Han Kim and Felix Meschke A version of the paper can be found here. Want a summary of academic papers with [...]
Do Endowments Add Value? Unclear.
Do (Some) University Endowments Earn Alpha? Bence Toth, Enrico Scalas, Jurgen Huber and Michael Kirchler A version of the paper can be found here. Want a [...]
“Better Information” Does Not Equate to Better Returns
The value of information in a multi-agent market model Bence Toth, Enrico Scalas, Jurgen Huber and Michael Kirchler A version of the paper can be [...]
What Can Investors Achieve in the US Stock Market?
We did a fun project that sorts securites into decile portfolios based on the FUTURE 5-year returns and rebalances on a set interval. Yes, a [...]
Investing “Gangnam Style”
Investor PSY-chology Surrounding 'Gangnam Style' Kim and Jung A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
Flexible Asset Allocation Assessment
We mentioned an interesting piece by Keller and Putten (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2193735) . Here was our original take: https://alphaarchitect.com/2013/01/03/flexible-asset-allocation/ The strategy seemed worth a second look so my [...]
Mean Regression and the Value Anomaly
For many investors, it is an article of faith that value investing is the best approach to investing in public equities. Value investors, who are [...]
How does the Shiller P/E (“CAPE”) perform as a stock selection tool?
On the Performance of Cyclically Adjusted Valuation Measures Wesley Gray (me) and Jack Vogel A version of the paper can be found here, or http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2329948 Want a [...]
The Case for Systematic Decision-Making
?? Homo Economicus versus Homo Sapiens Dick Thaler and Cass Sustein in their NY TIMES bestseller, NUDGE, describe two people in the world: Econs and [...]
US Auto Parts (PRTS) Activist Situation–for the stock pickers in the crowd
In my former life as a stock-picker I picked up a love for activist investing. Activist investing is a lot like being a capitalist freedom fighter--everyone [...]
Identify your Size, Value, and Momentum Benchmark
Many readers are likely familiar with Ken French's data: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html I'm not sure readers know about other data sources on the web. Case in point: [...]
OTC Stock Performance Study
Asset Pricing in the Dark: The Cross Section of OTC Stocks Andrew Ang, Assaf A. Shtauber, and Paul C. Tetlock A version of the paper [...]
QE Forever: Short Treasuries? But what about Japan?
QE forever certainly makes me think that I should put my entire net worth (all $5 dollars in my piggy bank) into gold bars. Q: [...]
Recommending the Trend: a Behavioral Basis for Momentum Strategies
As many investors know, Eugene Fama developed the efficient-market hypothesis (EMH) at the University of Chicago in the 60s, and it subsequently flourished across academia. [...]