Some Math Profs aren’t Fond of Moving Average Rules
The mathematicians aren't fond of moving-average trading rules: For every day in the sample, we can compute one average price of that stock using the previous [...]
Does Google Trends Predict Market Returns? A Second Look…
Do Google Trend Data Contain More Predictability than Price Returns? Damien Challet and Ahmed Bel Hadj Ayed A version of the paper can be found here. [...]
Dissertation Dumpster Diving: Cross Section of Stock Returns
Reading PhD dissertations can be frustrating (lots of typos, jargon, etc.), but they can also be fascinating because they haven't been "diluted" via the publishing [...]
Art, Stamps, and Violins in Your Portfolio?
The Investment Performance of Art and Other Collectibles Elroy Dimson, Christophe Spaenjers A version of the paper can be found here. Want a summary of academic [...]
Top 10 Rules for Forecasting
h.t. M Kline
Low Volatility Anomaly Lacks Robustness?
Question: How many ETF companies are hawking "Smart" beta products that offer low volatility or low beta portfolios (we could probably throw minimum volatility in [...]
A “Captivating” Tax Minimization Structure
http://www.journalofaccountancy.com/Issues/2013/Mar/20126102.htm This is dedicated to all our tax-minimization fans out there. In recent years, smaller, closely held businesses have also learned that the captive insurance entities [...]
Think You’re Smarter than a Monkey?
BBC has an article discussing the same research we highlighted almost a year ago: Her conclusion is that these biases are so deep rooted in [...]
Buffett’s Berkshire Beatdown
Fortune has an interesting article on Warren Buffett's performance over the past 5 years (12/31/2008 through 12/31/2013) Furthermore, though Buffett doesn't specifically talk about this [...]
You shouldn’t buy this stock at any price.
Music to a value investor's ears: You shouldn't buy this stock at any price. Ben Graham advocated that we should always follow a cardinal rule [...]
Natural Gas Trading and Mental Accounting
It has been a long, cold winter on the East Coast. This has been very good for anyone long natural gas. Below is a chart, [...]
Buffett versus Asness on Bonds: Terrible Investment or Good Diversifier?
Financial news TV shows are a great place to wage philosophical battles, particularly with respect to investing, which tends to gets people’s juices flowing. Warren [...]
Leverage local economics for higher stock returns
Geographic Diffusion of Information and Stock Returns Jawad M. Addoum, Alok Kumar, Kelvin Law A version of the paper can be found here. Want a summary [...]
SEC Employees Make Great Stock Pickers
Stock Picking Skills of SEC Employees Shivaram Rajgopal and Roger White A version of the paper can be found here. Want a summary of academic papers [...]
An After-Hours Arbitrage Opportunity: $50k to $760k in 12 years?
Slow Price Adjustment to Public News in After-Hours Trading Jiasun Li A version of the paper can be found here. Want a summary of academic papers [...]
Professors Gone Wild: $420k illicit gains on a $30k investment
A couple of University of Florida professors got busted by the SEC in a fairly fascinating trading scheme. In total, the profs earned $420,000 in [...]
A Better Way to Buy the Russell 2000
Long-Term Impact of Russell 2000 Index Rebalancing Jie Cai and Todd Houge, CFA A version of the paper can be found here. Want a summary of [...]
The Pursuit of Useless Information: Does this apply to Stock Picking?
Many in the investing world feel that, when assessing securities for purchase, the more information that can be assembled, the better off the investor. In [...]
CFA Institute Magazine Quote: Algos Dreaming
The latest edition of the CFA Institute Magazine has an interesting article on "Do Algorithms Dream of Electronic Clients?" They even managed to quote me as [...]
Bias Algorithms? How Ironic!
Human bias in algorithmic trading John Broussard, Andrei Nikiforov A version of the paper can be found here. Want a summary of academic papers with alpha? [...]