How many times has the S&P 500 been over 32%?
What's your guess? Seriously, before looking at the answer below... And the answer is... scroll. scroll. scroll. scroll. scroll. scroll. scroll. scroll. scroll. scroll. scroll. [...]
The Psychology of Scarcity: Part 1 of 2
"…The inconveniences of a real scarcity cannot be remedied; they can only be palliated.” - Adam Smith, Chapter V, The Wealth of Nations As Adam [...]
Is Volatility for Misguided Geeks?
Warren Buffett doesn’t like it when people use volatility to measure risk. He succinctly describes his criticism: We bought The Washington Post Company at a [...]
What is Behavioral Finance?
Behavioral finance means a lot of things to a lot of people. In this short piece I'll outline what "behavioral finance" means to academic researchers. [...]
Quant Jocks and Tire Kickers
I just love the title of this paper... A job market paper for a PhD student (Jane Zhao) who was on the market a few [...]
Pensions and the Tragedy of the Flypaper Effect
Arthur Okun showed that "money sticks where it hits," just a flies do to flypaper. Almost everyone has used flypaper from time to time. If [...]
Happy Thanksgivukkah!
Thanksgiving. Hanukkah. Why not Thanksgivukkah? Below, one of my partners hopped on his Bloomberg and plotted out some interesting time series: Turkey spot prices. Hanukkah [...]
Predicting Stock Returns with Investor Sentiment
Market participants often claim that investor sentiment matters for stock returns. This premise was formally studied by Malcolm Baker and Jeffrey Wurgler in their landmark [...]
Black Friday, Retailers and the Availability Heuristic
The term “Black Friday” has been used for many years to describe the day after Thanksgiving, which for retailers marks the beginning of the holiday [...]
“Better Information” Does Not Equate to Better Returns
The value of information in a multi-agent market model Bence Toth, Enrico Scalas, Jurgen Huber and Michael Kirchler A version of the paper can be [...]
Mean Regression and the Value Anomaly
For many investors, it is an article of faith that value investing is the best approach to investing in public equities. Value investors, who are [...]
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 [...]
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 [...]
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 [...]
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., & [...]
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 [...]