Daily Academic Alpha: Market Panics
Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907 Using a new daily dataset for all stocks traded on the New York [...]
Daily Academic Alpha: The Dong Lou Showcase
Dong Lou splashed on the academic scene in 2009 and boy has he been busy! Prof Lou has some great papers out there that have [...]
Daily Academic Alpha: Government versus Private Enterprise
State Capitalism vs. Private Enterprise We study the efficiency of internal capital markets at state-controlled and privately owned business groups in China. Using highly granular [...]
Daily Academic Alpha: Crowdsourced Alpha?
The Value of Crowdsourced Earnings Forecasts Crowdsourcing — when a task normally performed by employees is outsourced to a large network of people via an [...]
Daily Academic Alpha: Higher Moments in Hedge Funds
Higher‐Moment Risk Exposures in Hedge Funds This paper singles out the key roles of US equity skewness and kurtosis in the hedge fund return generating [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: Momentum Crash Management (Mahdi Heidari) The Risk Anomaly Tradeoff of Leverage (Baker and Wurgler) 3 Factor Dual Momentum: Value, [...]
Help on an Academic Research Project…again…
Readers, I need more of your input for a research project. http://smeal.qualtrics.com/SE/?SID=SV_0JKTpsCsXIXnJ9H As many of you are aware, my primary passion is serving as the team leader [...]
Daily Academic Alpha: Board Room Games
Breaking the Glass Ceiling In late 2003, Norway passed a law mandating 40 percent of each gender on the board of publicly limited liability companies. [...]
Daily Academic Alpha: Estimation Investigations
Separating the Wheat from the Chaff: Identifying the Signal and Predictable Error Components of Target Price Forecasts A target price forecast scaled by current price [...]
Daily Academic Alpha: Bond Beta and Alpha
Is the Cross-Section of Expected Bond Returns Influenced by Equity Return Predictors? We study whether commonly analyzed equity return predictors also predict corporate bond returns. [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: Manager Selection (Scott Stewart) Measuring the Size Effect with Capitalization-based ETFs (CXO Advisory) Asymmetric Reporting (Armstrong, Taylor and Verrecchia) The [...]
Daily Academic Alpha: Limits of Arbitrage
SHO Time for Limits-to-Arbitrage and Asset Pricing Anomalies We examine the causal effect of limits-to-arbitrage on ten well-known asset pricing anomalies using Regulation SHO as [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: Understanding Options-Based Sentiment in the Stock Market (Traderfeed) What Do Accruals Tell Us About Future Cash Flows? (Barth, Clinch and [...]
Why Value Investing is Simple, But Not Easy: IB Webinar
I'll be hosting a webinar in conjuction with Interactive Brokers LLC on March 11, 2015. Mark your calendars! Topic: Why Value Investing is Simple, but [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: What is Social Data? (MKTSTK) A Model of Cognitive Dissonance and Information (Matthew Kovach) Insider Trading in Commodities Markets [...]
Market Valuations based on CAPE–A Deeper Dive
We have discussed market valuations in the past, but the issue of market valuations was recently raised on CNBC, when Robert Shiller suggested he may shift out [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: An R Tutorial for Microsoft Excel Unsers (Revolutions) Backtesting A Basic ETF Rotation System in Excel (System Trader Success) [...]
Interview with a “Flash Boys” All-Star: Ronan Ryan from IEX
Here's the bottomline: As an investor, you've probably been helped by high-frequency-trading, but it is equally likely you've been SCREWED by high-frequency trading. As a [...]
Book Review — Open Secret: The Global Banking Conspiracy to Fix LIBOR that Swindled Investors Out of Billions
Book Overview In today’s complex financial world, borrowing rates are all around us, implicit in everything from our credit cards to our mortgages. Many of these [...]
Are Some Decisions to Allocate to U.S. Equities Due to Survivorship Bias?
The CFA Institute Magazine recently published an interview (a copy is here) with C. Thomas Howard, CEO of Athena Investment Services. Howard has some pretty [...]