Shareholder Yield: Do longer-term calculations enhance performance?
Wes and I have a recent paper (found here) which examines a more complete measure of shareholder yield (dividends, net stock repurchases, and debt reduction). Here [...]
Predicting Mental Defects: Does the Model or the Expert Win?
Clinical intuition and test scores as a basis for diagnosis Klehr, R. Journal of Consulting Psychology, 13, 34-38 An online version of the paper can [...]
Can Market Valuations Be Effective Market-Timing Signals?
We know that valuation metrics such as the CAPE, or Shiller P/E, ratio are correlated with long-term returns (notice we didn't say "predict" long-term returns--that is [...]
Profit from the Conference Call Participant List!
Analyst Interest as an Early Indicator of Firm Fundamental Changes and Stock Returns Jung, Wong, Zhang A version of the paper can be found here. Want [...]
World Cup results affect stock markets?
Sports Sentiment and Stock Returns Edmans, Garica, and Norli A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Behavioral Bias Bingo: Disposition Effect
Sell Winners Too Early and Hold Losers Too Long Researchers have explored the "disposition effect" for years, which describes how investors are more likely to sell [...]
Low Short Interest Dominates Low Vol Strategies
The Long and Short of the Vol Anomaly Jordan and Riley A version of the paper can be found here. Want a summary of academic papers [...]
Time to Protect your Stock Market Gains?
VIX is currently sitting at the lowest levels since all the way back to 2007, and market valuations are rich. The chart below highlights VIX [...]
Behavioral Bias Bingo: The Affect Heuristic
How do your feelings affect your decisions? "Humans perceive and act on risk in two fundamental ways. Risk as feelings refers to individuals' instinctive and [...]
Global Market Valuations based on EBIT/TEV
We ran some numbers on the large liquid universe of stocks (>2B USD) traded in EAFE countries. In total there are 1086 names in the [...]
Betting Against Beta or Demand for Lottery?
Betting Against Beta or Demand for Lottery Bali, Brown, Murray, and Tang A version of the paper can be found here. Want a summary of academic [...]
Do Hedge Funds Frontrun Mutual Funds?
Are Mutual Funds Sitting Ducks? S. Shive and H. Yun A version of the paper can be found here. Want a summary of academic papers with [...]
Post Earnings Announcement Drift and Value/Growth Anomaly
When Two Anomalies Meet: The Post – Earnings Announcement Drift and the Value – Glamour Anomaly Yan and Zhao A version of the paper can [...]
Do Hedge Funds Destroy Investor Value?
The Cost of Capital for Alternative Investments J Jurek and E Stafford A version of the paper can be found here. Want a summary of academic [...]
Alliances and Return Predictability
Alliances and Return Predictability Cao, Chordia, and Lin A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
17/25 largest tech companies founded by immigrants!
Listening to a fascinating talk and associated slide deck on the 'future of technology and the world." h.t. R. Compton http://recode.net/2014/05/30/mary-meekers-annual-rapid-fire-internet-trends-talk-video/ If you are into [...]
Earnings Growth Rate Mean-Reversion–it’s Science
We're often asked: Why does value investing work? You guys simply buy crappy high-risk companies. Of course you outperform. I typically agree with claims that [...]
Has Momentum Been “Arbed” Away?
Momentum Has Not Been 'Overgrazed': A Visual Overview in 10 Slides Claude B. Erb A version of the paper can be found here. Want a summary [...]
Behavioral Bias Bingo: “Knew it all along” bias
Hindsight bias: How we overestimate our prediction abilities People tend to overestimate their own predictive power when events have already occurred. This is commonly known [...]
The Legal Case that HFT is Illegal
The (Questionable) Legality of High-Speed 'Pinging' and 'Front Running' in the Futures Markets Greg Scopino A version of the paper can be found here. Want a [...]