Natural Gas and Oil Spread: Opportunity or a Pain Trade?
The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes [...]
Share Repurchases and Market Efficiency–Dang!
The Persistence of Long-Run Abnormal Stock Returns: Evidence from Stock Repurchases and Offerings Fangjian Fu, Sheng Huang, and Hu Lin A version of the paper [...]
Applied Quantitative Value (Part 4 of 4)
I sat down with Wes Gray--who also contributes frequently on this blog under the title Wesley Gray, Ph.D.--and Toby Carlisle--who runs the great blog over [...]
Insider Trading Patterns: Isolated vs. Sequenced Trading
Insider Trading Patterns David Cicero, and M. Babajide Wintoki A version of the paper can be found here. Abstract: "We document two patterns of informed [...]
The Military Industrial Complex has Arrived
A bit off topic, but definitely should play into macroeconomic themes and theses. The 2011 highest income counties in 2011 from the WP. http://www.washingtonpost.com/wp-srv/special/local/highest-income-counties/ The [...]
How to Identify High Quality Stocks, Continued (Part 3b of 4)
Suppose you had to sail across the Atlantic and were given a choice between making the crossing in either an 8 foot sailing dinghy, or [...]
Fight the Good Fight Against Fees, Tax Inefficiency
Everyone knows there is no such thing as a free lunch, but in investing you often have to pay for a lot more than just [...]
Cloud-Based Financial Advisers
Wall Street is VERY afraid! There are a wave of internet-based financial advisers working hard to save you fees. http://www.marketriders.com/ https://www.futureadvisor.com/learn_more https://www.wealthfront.com/ The Quick Math: [...]
Long Bonds–Long or Short?
Timely Portfolio has a great post about the magical long-bond. http://timelyportfolio.blogspot.tw/2012/08/bonds-much-sharpe-r-than-buffett.html The thesis he presents is clear: long bonds won't achieve what they've achieved over the past [...]
How to Identify High Quality Stocks (Part 3a of 4)
What does it mean to measure a business’ “quality” in the context of investing in common stocks? We try to answer this question in Part [...]
Congress can make you money? Yes, it is true!
Legislating Stock Prices Lauren Cohen, Karl Diether, Christopher Malloy A version of the paper can be found here. Abstract: "In this paper we demonstrate that [...]
How to Identify the Cheapest Stocks (Part 2 of 4)
This is the next installment in our series covering Turnkey Analyst’s approach to the holy grail of investing – how to identify low risk, high [...]
Do Decomposed Financial Ratios Predict Stock Returns and Fundamentals Better?
Do Decomposed Financial Ratios Predict Stock Returns and Fundamentals Better? Xiaoquan Jiang, Bong Soo Leei A version of the paper can be found here. Abstract: [...]
Risk Premia Harvesting Through Momentum
Risk Premia Harvesting Through Momentum Gary Antonacci A version of the paper can be found here. Abstract: "Momentum is the premier market anomaly. It is [...]
Will My Risk Parity Strategy Outperform?
Will My Risk Parity Strategy Outperform? Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg A version of the paper can be found here. Abstract: [...]
Analyzing Speech to Detect Financial Misreporting
Analyzing Speech to Detect Financial Misreporting Jessen L. Hobson, William J. Mayew, Mohan Venkatachalam A version of the paper can be found here. Abstract: "We [...]
Predicting Fraud by Investment Managers
Predicting Fraud by Investment Managers Stephen Dimmock and William Gerken A recent version of the paper can be found here. Abstract: We test the predictability [...]
Managing the Risks of Permanent Capital Impairment (Part 1 of 4)
This post is the first in a series that will discuss Turnkey Analyst’s approach to finding the holy grail of quantitative finance – a robust, [...]
Quantitative Value vs. Magic Formula Stocks
Here is a quick screen comparison between our Quantitative Value (described here) and the Magic Formula (screen results from here): click to enlarge click to enlarge [...]
Returns to Buying Negative TEV Firms
Who doesn't love the idea of buying something for nothing? Jack and I were intrigued with the concept of something for nothing and took a shot at [...]