Do REITs blow up if interest rates spike?
Depends on the time period analyzed... Positive correlation between rates and REIT returns prior to 2000 Negative correlation post 2000. Extreme positive interest rate moves [...]
Models vs. Experts #9: Diagnosing Acute Abdominal Pain
Computer-aided diagnosis of acute abdominal pain De Dombal, F. T., Leaper, D. J., Staniland, J. R., McCann, A. P., & Horrocks, J. C. British Medical [...]
Models vs. Experts #8: Graduate School Admissions
A case study of graduate admissions: Application of three principles of human decision making Dawes, R. M. American Psychologist, 26, 180-188 An online version of [...]
Are Market Valuations too High?
There is a lot of chatter regarding market valuations. Many commentators are very confident that market is overpriced. Overconfidence can be dangerous. In the words [...]
Models vs. Experts #7: Job Analysis
A comparison of holistic and decomposed judgment strategies in job analyses by job incumbents synthesis Cornelius, E. T., & Lyness, K. S. Journal of Applied [...]
Complexity ==> Confusion and Dysfunction
A heartwarming paragraph from a paper I'm reading: Miller (1956) argued that there are definite limitations on the number of conceptual units that humans can [...]
Models vs. Experts #6: Predicting Male Psychological Disturbance
MMPI in actuarial diagnosis of psychological disturbance among college males Cooke, J. K. Journal of Counseling Psychology, 14, 474-477 A version of the paper can [...]
Shareholder Yield is here!
Cambria Funds is out with an interesting ETF. http://www.cambriafunds.com/syld/ Here is the fact sheet: At 59bps, this fund is low-cost, tax-efficient, and likely to produce [...]
Are Stocks Cheap? The Feds think so…
Are Stocks Cheap? A Review of the Evidence Fernando Duarte and Carlo Rosa A version of the paper can be found here. Want a summary of [...]
Models vs. Experts #5: Health Care Protocol
Experience with a computerized interactive protocol system using HELP Cannon, S. R., & Gardner, R. M. Computers in Biomedical Research,13, 399-409. A version of the [...]
Models vs. Experts #4: Electrocardiogram
Performance of the computer and physician in the analysis of the electrocardiogram Caceres, C. A., & Hochberg, H. H. American Heart Journal, 79, 439-443 A [...]
Models vs. Experts #3: Advertising Sales Predictions
A Field Test of Implications of Laboratory Studies of Decision Making Ashton, A. H. The Accounting Review, 59, 361-375 A version of the paper can [...]
Tax is more important than alpha
Below is a snapshot from a marketing deck I've been working on. I'm shifting the majority of my very limited brainpower into the field of [...]
Googling for Profits?
Quantifying Trading Behavior in Financial Markets Using Google Trends Tobias Preis, Helen Susannah Moat, and H. Eugene Stanley A version of the paper can be [...]
Models vs. Experts #2: Rorschach interpretation
Unsuccessful differential diagnosis from the Rorschach Armitage, S. G., & Pearl, D. Journal of Consulting Psychology, 21. 479-484 A version of the paper can be [...]
Models vs. Experts #1: College GPA predictions
Predictive efficiency of two multivariate statistical techniques in comparison with clinical predictions Alexakos, C.E. Journal of Educational Psychology, 57, 207-306 A version of the paper can [...]
Sell in May and Go Away Results
We did a study of this a while ago using the data from Ken French's website. All of the results below are through December 2010. [...]
Can We Make Money off of Investors’ Limited Attention?
Limited Attention and Asset Price Efficiency: Evidence from NYSE Opening and Closing Ceremonies Click to get the pdf. Steve Crawford, Wesley Gray (me!), and Shastri Sandy [...]
S&P 500 10-Year Nominal Return Forecasts
We've outlined the fundamentals of long-term return projection models in a recent post: https://alphaarchitect.com/2012/12/projected-15-year-sp-500-returns/ Butler|Philbrick|Gordillo and Associates have a great post that focuses on the [...]
Clone Endowment Asset Allocations
Getting access to what the top asset allocation brains are thinking is easy-- "Google it." For example, I googled "yale endowment asset allocation filetype:pdf" and [...]