Loosening Short Sale Constraints Makes Markets More Efficient
The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies Chu, Hirshleifer and Ma A version of the paper can be found here. Want [...]
DIY Asset Allocation Weights: February 2016
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a [...]
Attention Advisors: A Webinar on How to Pick the Right “Robo” Platform
Pat Cleary, our Harvard educated US Marine Captain, who also happens to serve as a our chief compliance and operating officer (COO/CCO), will be giving [...]
Even God would get fired as an Active Investor
Perfect foresight has great returns, but gut-wrenching drawdowns. In other words, an active investor who was clairvoyant (i.e. "God"),[ref]We mean no offense by the use [...]
DIY Financial Advisor for $9.99 – Limited Supply Offer (50 books)
Hi Friends/Readers, Good news: We've got some excess inventory of DIY Financial Advisor! We're selling 50 copies at the special price $9.99 + shipping. First come, [...]
The most concise explanation of behavioral finance I’ve ever seen
One of the most overused-- and misunderstood -- terms I've seen used by finance practitioners is "behavioral finance." Many professionals consider themselves to be "behavioral [...]
Mega-Cap Valuations Relative to the Broader Market
Meb Faber's twitter feed is a great source to find new research ideas -- his followers are very curious. Today, someone asked about the P/E [...]
How Does Analyst Optimism Affect Momentum Strategies?
Analyst Optimism and Stock Price Momentum Li, Lockwood and et al. A version of the paper can be found here. Want a summary of academic papers [...]
Following “Opportunistic insiders” Earns over 1% Monthly Alpha…
Opportunism as a Managerial Trait: Predicting Insider Trading Profits and Misconduct Ali and Hirshleifer A version of the paper can be found here. Want a summary [...]
Is Price Momentum a Brother From Another Mother?
Fundamentally, Momentum is Fundamental Momentum Robert Novy-Marx A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Money Doctors: Will You Trust Them in a Crisis?
Do you trust your doctor? If you're like most people, chances are good that you do. And why not? What do you know about medicine [...]
Value Investing: Accruals, Cash Flows, and Operating Profitability
Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns Ball, Gerakos, Linnainmaa and Nikolaev A version of the paper can be [...]
Does Science Advance One Funeral at a Time?
A really interesting paper hit the NBER wires recently. The central argument of the paper is that "rock star" thought leaders dominate a field, but [...]
Interest Rates, Tax-Selling, and Stock Return Seasonality
Stock prices under pressure: How tax and interest rates drive seasonal variation in expected returns Kang, Pekkala, and et al. A version of the paper [...]
Thinking About Corporate Governance In Family-Owned Firms
Families are a basic and universal institution of human society that provide a network of relationships, safety and support, allowing the transmission of values and [...]
DIY Asset Allocation Weights: January 2016
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a [...]
Daily Academic Alpha: Value and Momentum in Vietnam
An interesting out of sample test on return drivers in the Vietnamese market from 2006 to 2014. Not surprisingly, value and momentum show some mojo [...]
A Win for Socially Responsible Investing: Rethinking “Sin Stocks”
I have a love-hate relationship with sin stocks. On one hand, my first big winning stock pick was Swisher Sweet Cigars, which nearly doubled a [...]
‘Tis the Season for strange effects in the stock market.
The efficient market hypothesis suggests that stock prices are always “right” in the sense that stock prices reflect all available information. Of course, during tax [...]
Great Academic Research is Bursting at the Seams
Having been a full-time academic financial economist in a former life (still dabble, when able), I became accustomed to my annual pilgrimage to the annual American Finance [...]