Behavioral Finance Strikes Again: Anchoring in Loan Markets
Anchoring on Credit Spreads Dougal, Engelberg, Parsons, and Wesep A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Tax-Efficient Investment Strategies: How Should We Invest in Treasury Bonds?
We investigate various methods to express a 10-Year Treasury Bond allocation. The primary issue with Treasury Bonds is their lack of tax-efficiency. T-bond income (and [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: Back test a set of trading rules from 1870 to 2010 (Zakamulin) A comparison of investor sentiment indicators (The [...]
Risk Management Rules on Australian Equities
A friend of the blog was inspired by our Robust Asset Allocation discussion, and conducted some backtests using our proposed risk management framework: 50% simple moving average [...]
Where to Find Cool Academic Finance Research
Over the past 10+ years I've cultivated a laundry list of websites associated with financial economics. My primary focus has been identifying sources for new ideas that [...]
Daily Academic Alpha: Market Panics
Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907 Using a new daily dataset for all stocks traded on the New York [...]
Absolute Momentum and Stock Momentum Strategies: Friends, not enemies
There is sometimes confusion associated with so-called "momentum" strategies--we want to clear the muddy waters. We break momentum into two categories to differentiate between the different [...]
Daily Academic Alpha: The Dong Lou Showcase
Dong Lou splashed on the academic scene in 2009 and boy has he been busy! Prof Lou has some great papers out there that have [...]
Low or High Inflation? Nope, Stealthy Government Debt Liquidation!
The Liquidation of Government Debt Carmen Reinhart and M. Belen Sbrancia A version of the paper can be found here A video of Prof. Reinhart [...]
Daily Academic Alpha: Government versus Private Enterprise
State Capitalism vs. Private Enterprise We study the efficiency of internal capital markets at state-controlled and privately owned business groups in China. Using highly granular [...]
Book Review — Global Asset Allocation: A Survey of the World’s Top Asset Allocation Strategies
Book Overview One of the most fundamental choices for any investor is their approach to strategic asset allocation. What are the major asset classes to [...]
How to Combine Value and Momentum Investing Strategies
The evidence suggests that we keep highly active exposures to value and momentum in their purest forms (assuming we are doing high-conviction non-watered down versions of the anomalies). Blending the strategy dilutes the benefit of value and momentum portfolios. The summary of the benefits of a pure value and a pure momentum approach can be summarized as follows: Easier ex-post assessment, stronger portfolio diversification benefits, and stronger expected performance.
Daily Academic Alpha: Crowdsourced Alpha?
The Value of Crowdsourced Earnings Forecasts Crowdsourcing — when a task normally performed by employees is outsourced to a large network of people via an [...]
Momentum Research: Main Embarrassment of the FF 3-Factor Model
Multifactor Explanations of Asset Pricing Anomalies Fama and French (1996) A version of the paper can be found here. Want a summary of academic papers with [...]
Investing in High Dividend Yield Stocks: a Sucker Bet? Maybe Not This Time Around
Beware of any investment that has the word, "yield," embedded in the title. This is especially important for "dividend yield" strategies. Because the term makes investors [...]
Individual Investors and the Moving Average Rule
Trading on Noise: Moving Average Trading Heuristics and Private Investors Etheber, Hackethal and Meyer A version of the paper can be found here. Want a summary [...]
Daily Academic Alpha: Higher Moments in Hedge Funds
Higher‐Moment Risk Exposures in Hedge Funds This paper singles out the key roles of US equity skewness and kurtosis in the hedge fund return generating [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: Momentum Crash Management (Mahdi Heidari) The Risk Anomaly Tradeoff of Leverage (Baker and Wurgler) 3 Factor Dual Momentum: Value, [...]
Barron’s Advisors Summit. Scottsdale, AZ. Give us a Shout!
Patrick and I will be at the event in Scottsdale, AZ next Monday March 23 --March 25. If you wanna drink a beer with a [...]
Help on an Academic Research Project…again…
Readers, I need more of your input for a research project. http://smeal.qualtrics.com/SE/?SID=SV_0JKTpsCsXIXnJ9H As many of you are aware, my primary passion is serving as the team leader [...]