Distress and Issuance equals Portfolio Pain
Equity Issuance and Returns to Distressed Firms James L Park A version of the paper can be found here. Want a summary of academic papers with [...]
Models vs. Experts #10: Lung Function tests
Comparison of reports on lung function tests made by chest physicians with those made by a simple computer program Geddes, D. M., Green, M., & [...]
Stock/Bond Equity Doesn’t Signal much…
Do-It-Yourself tactical macro modules for August are posted. Create a free account here if you want to access the site directly. Macro Chart of the Month: Equity/bond risk [...]
Quantitative Value Cracks the Amazon Top 10 Investing Books.
Looking good. Thanks for all the support from all our readers out there. We get comments and questions everyday--keep them coming. Purchase here Thanks to http://www.stansberryresearch.com/dailywealth/2467/guide-for-selling-stocks-from-the-father-of-value-investing for [...]
Happy days for Momentum; Sad days for Risk Parity
Do-It-Yourself tactical asset allocation weights for August are posted. Create a free account here if you want to access the site directly. Exposure Highlights: No Commodities; no bonds; [...]
Trading on Insider Scoop Works–Who Would have Guessed?
The Value of Private Information in Investment Research: Do Company On-Site Visits Affect the Trading Patterns and Performance of Professional Investors? Switzer and Keushgerian A [...]
Value Versus Growth Flashback: Microsoft and Wal-Mart were High-Flying Growth Stocks?
Jack and I were reading a classic academic paper on value investing the other day: Contrarian Investment Extrapolation and Risk. In this paper Lakonishok, Schleifer [...]
Sadness Screws up Financial Decisions–Be Happy!
The Financial Costs of Sadness Lerner JS, Li Y, Weber EU A version of the paper can be found here. Want a summary of academic papers [...]
Quant Robots Draw Blood and the “Human Touch” Bias
It is hard enough to let a computer take control of your investment decisions. I think there is an innate comfort to human interaction. Let's [...]
SAC Capital Advisors: What You See is All There Is
The Justice Department filed criminal charges yesterday against SAC Capital Advisors, accusing the multi-billion dollar hedge fund of securities and wire fraud. What's interesting is [...]
Apple moves Higher–Quant Value Pleasure!
On July 19th we highlighted the quant value pain associated with Microsoft. Today we have some good news from a quantitative value type stock--Apple! A low [...]
Risk Parity Rebuttal
Risk Parity in a Rising Rates Regime Rob Croce, Rusty Guinn, and Lee Partridge A version of the paper can be found here. Want a summary [...]
Momentum has Serious Mojo!
212 Years of Price Momentum (The World's Longest Backtest: 1801-2012) Geczy and Samonov A version of the paper can be found here. Want a summary of [...]
Combine the January Effect and Positive Yield Curve for Higher Returns?
Stock Strategies and the January Barometer and the Yield Curve Lichend Sun, Chris Stivers, and Ajay Kongera A version of the paper can be found here. [...]
Mining for Bitcoin: Ponzi Scheme, Future Reserve Currency or Something in Between?
As technology increasingly marginalizes the use of physical money, the rise of virtual currencies, as alternatives to national fiat currencies, is perhaps inevitable. And if [...]
Socially Irresponsible Investing–A Path to Profits?
Can it be Good to be Bad? Anders Karlen Sebastian Poulsen A version of the paper can be found here. Want a summary of academic papers [...]
Trading the Equity/Future Spread
Dividend swaps as synthetic equity Joseph Clark A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Focusing on Yahoo Finance Too Much? That’s what the evidence says…
Online Search and Return Comovement Alvin Chung Man Leunga, Ashish Agarwala, Prabhudev Konanaa and Alok Kumar A version of the paper can be found here. Want [...]
Profiting from Bust Pension Funds?
Pension Plan Funding and Stock Market Efficiency Francesco Franzoni and Jose M. Marin A version of the paper can be found here. Want a summary of [...]
Aleph Blog Book Review
We post all reviews we come across on the web (let us know if we are missing any): https://alphaarchitect.com/reviews/ A recent review caught my attention: [...]