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 [...]
More Information=More Confidence=More Problems
Effects of amount of information on judgment accuracy and confidence Claire I. Tsai, Joshua Klayman, Reid Hastie A version of the paper can be found here. [...]
Are Stocks Expensive? Yes, but…
Are stocks expensive? On an absolute basis, yes. As Greenbackd.com and Mebanefaber.com have recently pointed out, the Shiller P/E, or cyclically-adjusted P/E (CAPE), is at a historical [...]
Go Long…Make Money. Go Short…Make Money. All Good.
Limited Attention and the Earnings Announcement Returns of Past Stock Market Winners David Aboody, Reuven Lehavy, and Brett Trueman A version of the paper can [...]