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. [...]
Models vs. Experts #13: Let the Computer Decide who is Suicidal?
A probabilistic system for identifying suicide attempters Gustafson, D. H., Greist, J. H., etal Computers and Biomedical Research, I0, 1-7 An online version of the [...]
Models vs. Experts #12: Modeled Human Judgement beats Human Judgement. Huh?
Man versus Model of man: A rational, plus some evidence, for a method of improving on clinical inferences Goldberg, L. R. Psychological Bulletin, 73, 422-432 [...]
Follow the Leader in the Stock Market–it works!
Cross-Firm Information Flows and the Predictability of Stock Returns Anna Scherbina and Bernd Schlusche A version of the paper can be found here. Want a summary [...]
Super Bowl Market Predictions are Bogus. Duh.
A Re-Examination of the Super Bowl Stock Market Predictor Jeffery A. Born and Yousra Acherqui A version of the paper can be found here. Want a [...]
3rd Edition of Quantitative Value for $29.99–100 copies only
I've never really seen "eye to eye" with our publisher on the cost of our Quantitative Value book. I want to get the work out [...]
Models vs. Experts # 11: Simple models beating the experts
The search for configural relationships in personality assessment: The diagnosis of psychosis vs. neurosis from the MMPI Goldberg, L. R. Multivariate Behavioral Research, 4, 523-536 [...]
Does Investing in Bankruptcies Bankrupt Investors?
The Orphan Equity Market: Recent Evidence Omid Sabbaghi and J. Matthew Lupton A version of the paper can be found here. Want a summary of academic [...]
Moving Average Triggers on Emerging, REITs, and 10-Years.
Do-It-Yourself tactical asset allocation weights for September are posted. Create a free account here if you want to access the site directly. Exposure Highlights: Similar to last month: [...]
Inflation Risk and Stock Returns
Inflation Risk and the Cross Section of Stock Returns Fernando M. Duarte A version of the paper can be found here. Want a summary of academic [...]
Indian Rupee in Freefall!
As the Indian Rupee hit a fresh all-time low today against the US dollar, we wondered about the factors that could have caused this recent [...]
Bond ETF Trading Profits?
Predictability in Bond ETF Returns Jon A. Fulkerson, Susan D. Jordan, and Timothy B. Riley A version of the paper can be found here. Want a [...]
Does Jeremy Siegel Trust the Shiller P/E?
In early August, Wharton finance professor Jeremy Siegel went on CNBC’s “Futures Now” and announced, "my target [for the DOW] is 16,000 to 17,000 for [...]
Should we all hire dart-throwing monkeys or investment managers peddling tactical asset allocation models?
Looks like dart-throwing monkeys are a viable alternative... Boot out the 2008 Financial Crisis (a sample of n=1) and you have pretty "blah" returns... Are [...]
Thoughts on Low Vol Investing
A Survey of Low Volatility Strategies Tzee-man Chow, Jason C. Hsu, Li-Ian Kuo, and Feifei Li A version of the paper can be found here. Want [...]