Overnight Momentum vs. Intraday Momentum
A Tug of War: Overnight Versus Intraday Expected Returns Lou, Polk and Skouras A version of the paper can be found here. Want a summary of [...]
Can You Afford Private School Tuition Costs?
I was recently asked by a local media outlet to comment on the costs of private school tuition. Wes suggested that I share these thoughts [...]
Are Some Decisions to Allocate to U.S. Equities Due to Survivorship Bias?
The CFA Institute Magazine recently published an interview (a copy is here) with C. Thomas Howard, CEO of Athena Investment Services. Howard has some pretty [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: Price Momentum Key For Tactical ETF Investor (ETF.com) Trading Google Trends with Logistic Regression (MKTSTK) Driven by Fear? [...]
For an Auditor, Intuition Might Matter!
Thinking Fast versus Thinking Slow: The Effect on Auditor Skepticism Wolfe, Christensen and Vandervelde A version of the paper can be found here. Want a summary [...]
Another Wall Street Scheme: “Juicers”
Juicing the Dividend Yield: Mutual Funds and the Demand for Dividends Harris, Hartzmark and Solomon A version of the paper can be found here. Want a [...]
Where are the Cheap Firms Internationally?
Last week, Wes had a short post entitled, Where are the Cheap Firms? The post showed that when we look at the cheapest stocks in [...]
Quantitative Momentum Research: Price and Earnings Momentum
Momentum Strategies Chan, Jegadeesh and Lakonishok A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
Fundamental Investors Following Insider Filings–Beware!
Run EDGAR Run: SEC Dissemination in a High-Frequency World Rogers, Skinner and ZechmanA version of the paper can be found here.Want a summary of academic papers [...]
The Big Game and Hindsight Bias
After watching the post-game commentary after the Big Game, it appears that many commentators may have been suffering from Hindsight Bias. Numerous "experts" claimed that [...]
Football, PSI, and the Big Game
The past 2 weeks there has been some controversy around the so-called "Deflate-gate," where the N.E. Patriots were accused of intentionally deflating the footballs to [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: For Passive Funds, a Stronger Link Between Fees and Performance (Morningstar) A Revelation For Small-Cap Investing Strategies (The Capital [...]
Manliness implies Misreporting?
Masculinity, Testosterone, and Financial Misreporting Jia, Van Lent and Zeng A version of the paper can be found here. Want a summary of academic papers with [...]
Where are the Cheap Firms?
Energy (mostly oil-related) and consumer discretionary (brick & mortar retailers). Cheap--or at least relatively cheap--based on enterprise multiples.
Predict Stock Returns Using the TREND of Profitability
The Trend in Firm Profitability and the Cross Section of Stock Returns Akbas, Jiang and Koch A version of the paper can be found here. Want [...]
Does “Sharpe Parity” work better than “Risk Parity?”
Strategies employing risk parity have been favored by mutual funds and other market participants the past few years. The attraction of risk parity strategies are [...]
Insights on ETMFs and ETFs from an ETF Service Provider
Our firm mission is to empower investors through education. One area of the marketplace where education is lacking is in the ETF, or exchange-traded-fund arena. [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: And the Winner Is.... (Dual Momentum) Do Any Sector ETFs Reliably Lead or Lag the Market? (CXO Advisory) [...]
Weekend Geekout: The History of Low Volatility Investing
Eric Falkenstein is an economist, with a PhD in economics, a quantitative geek, and a book writer. In his blog, Falkenblog, there are voluminous mind-blowing articles since [...]
Humble Pie Prevents 99.8% Drawdowns
It’s not every day you hear news of a 99.8% drawdown, but it looks like today is one of those days. Owen Li of Canarsie [...]