Attention Prop Traders: The first half hour of trading predicts the last half hour…
Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return Gao, Han, and Zhou A version of the paper can be found here. Want a [...]
Inspiring Market Efficiency Results…NOT!
Yes, it is true, lower risk securities have historically outperformed higher risk securities. We've seen this in a variety of academic research pieces, but sometimes [...]
Behavioral Bias Bingo — The Illusion of Control
The Illusion of Control In most elevators, at least in any built or installed since the early nineties, the door-close button doesn’t work. It is there [...]
Introduction to Finance: Class 8
Introduction to Finance: Class 8 Risks & Returns What are risks & returns? When it comes to financial matters, we all know what risk is [...]
The Remarkable Truth about 52-Week High Stocks
Pop quiz: A stock you own just hit a 52-week high... Does it make you nervous? On Wall Street, there are many highly publicized metrics that [...]
Old School Academics on Moving Average Rules: Remarkable.
Simple Technical Trading Rules and the Stochastic Properties of Stock Returns Brock, Lakonishok, and LeBaron A version of the paper can be found here. Want a [...]
Introduction to Finance: Class 7
Introduction to Finance: Class 7 Lessons from Capital Market History What is a capital market? Capital markets channel savings and investment between suppliers of capital such [...]
Using Utilities to Time the Market
Strategy Background Beta Rotation strategy (BRS) is discussed by Charles Bilello and Michael Gayed in their new paper, “An International Approach to Beta Rotation: The [...]
Forecasting Bias: From Weather to Wall Street
Providers of forecasts often want to be right, but they also don’t enjoy surprising people on the downside. People don’t like nasty surprises. For instance, [...]
Introduction to Finance: Class 6
Introduction to Finance: Class 6 Making Capital Investment Decisions Where to begin? Capital investment decisions also can be called ‘capital budgeting’ in financial terms. Capital [...]
Do Behavioral Biases affect PGA Tour players?
Is Tiger Woods Loss Averse? Persistent Bias in the Face of Experience, Competition, and High Stakes Pope and Schweitzer A version of the paper can [...]
Time to Trade in Your Doctor for an Algo?
Artificial intelligence in the diagnosis of low-back pain and sciatica Mathew, B., Norris, D., Hendry, D., & Waddell, G. Spine, 13, 168-172 An online version [...]
Value investing: Can you withstand the pain?
So the market took a tumble today--Feeling pain? Feeling emotional? Expecting the downward trend to continue? Be careful, your system 1 is terrorizing your ability [...]
Mythbuster: Are women more talkative than men?
Using sociometers to quantify social interaction patterns Note: this is not related to finance, but a fun study we found while perusing economic and behavioral [...]
Introduction to Finance: Class 5
Introduction to Finance: Class 5 Net Present Value & Other Investment Criteria What is net present value? The difference between the present value of cash [...]
A Simulation Study on Simple Moving Average Rules
The mention of technical analysis in the halls of academia can cause serious angst. The disdain for technical analysis likely stems from a firm belief that [...]
Introduction to Finance: Class 4
Introduction to Finance: Class 4 Stock Valuation What is stock valuation? There are many ways to determine the value or worth of a stock (refamiliarize [...]
Cliff Asness: Be Realistic About 2.5% Real Returns
Cliff Asness had a great interview with Steve Forbes back in April (a copy is here) that highlights the dilemma facing investors today: stocks and [...]
Introduction to Finance: Class 3
Introduction to Finance: Class 3 Bonds & Interest Rates What are bonds? What is an interest rate? Check this out: Introduction to Bonds Video Interest [...]
Momentum Investing: Ride Winners and Cut Losers. Period.
Momentum has historically been a great strategy. Although counter-intuitive to many value investors, buying stocks with rising prices has been a great investment approach--arguably better than value investing. Moreover, the approach is robust between the 2 samples analyzed. The lesson is clear: Let your winners ride and cut your losers short.