Are NFL Betting Markets Inefficient?
An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC Thomas W. Miller Jr. and David E. Rapach A version of the paper can [...]
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 [...]
Ben Graham Cigar Butt Hunting–Size Matters
Interesting paper: https://faculty.biu.ac.il/~lauteb/data_794/Ben_Graham.pdf Abstract: The study demonstrates how size controls can alter the outlook of an investment strategy. The Ben Graham net current asset value rule [...]
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 [...]
Formula Investing SMA Transition
Dear Readers: Joel Greenblatt has attracted a lot of followers based on the success of his book, “The Little Book that Beats the Market,” and [...]
Seth Klarman, Micron Technologies, and Risk Targeting
When Seth Klarman invests, people pay close attention. As the founder of the Baupost Group, which reportedly manages $28 billion, he has earned his reputation as as an [...]
High Frequency Trading is great for society!
Last week we transcribed some key sections from Jim Simons 2010 talk at MIT, “Mathematics, Common Sense, and Good Luck: My Life and Careers.” We transcribed [...]
Weekly Economic Calendar 12/2 to 12/6
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Thales–The World’s First Option Trader?
The Greek philosopher Aristotle (348 BC - 322 BC) was a renowned polymath, who studied everything that could be studied at the time. He is [...]
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 [...]
Follow the (Confident) Smart Guys?
I was at Grant's Interest Rate Observer a couple years ago listening to the end of the world. Seriously, EVERYONE was ultra bearish. And EVERYONE [...]
Why Exclude Financial Firms from Quantitative Studies?
I often get insightful questions from readers. A recent question was as follows: ...applied works most often exclude Financials and Utilities in their universe under [...]
Secret Sauce: Jim Simons on Life and Building a Business
Jim Simons, the founder of Renaissance Technologies, gave in 2010 a fascinating talk at MIT entitled, “Mathematics, Common Sense, and Good Luck: My Life and [...]
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 [...]
Charlie Munger Translation: Taxes and Alpha are the Shiznit!
Compounding My Interests has a great post highlighting some wisdom from Charlie Munger--a TRULY great investor. The money shot: Another very simple effect I very [...]
Polish Size, Value, and Momentum
Momentum, Value, and Size and Liquidity Factors in the Polish Market Adam Zaremba and Przemyslaw Konieczka A version of the paper can be found here. Want [...]
Focus on What You Can Get for Free: Part 2/2
It always pays to focus on what you can get for free, but this is especially true for investing. In this Part 2 of our "Focus [...]
Investment Cruise with CFA and Wiley Authors
Beautiful weather, sun, ocean, and...my ugly mug chatting about finance with some fellow authors--including my fellow blogger, Meb! A fun event in the making... Details below. [...]