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 [...]
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 [...]
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 [...]
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 [...]
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 in a Rising Rates Regime Rob Croce, Rusty Guinn, and Lee Partridge A version of the paper can be found here. Want a summary [...]
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 [...]
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. [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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: [...]
Pairs Trading: Performance of a Relative-Value Arbitrage Rule Evan Gatev, William N. Goetzmann, and K. Geert Rouwenhorst A version of the paper can be found here. [...]
[youtube url="http://youtu.be/lG_064_XvfY"]
http://www.aeonmagazine.com/world-views/steven-poole-can-algorithms-ever-take-over-from-humans/ A great article by Steven Poole. He highlights what Turnkey readers are slowing learning via our Models vs. Experts series: Speaking to the evidence [...]
Value Around the World Nilufer Caliskan and Thorsten Hens A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
We've seen a few cool posts comparing different moving average rules. Here is a recent example from Systemtradersuccess.com: http://systemtradersuccess.com/golden-cross-which-is-the-best/ Below are the results of different [...]
It appears Japanese monetary policy is beginning to resemble Kabuki. Kabuki is a form of Japanese theater that involves stylized performances that can appear positively [...]
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