Momentum And Market Anomalies
Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well … Read more
Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well … Read more
Reading really old research is humbling. https://archive.org/ is awesome. One quickly recognizes that market participants were very savvy way back in the … Read more
What Free Lunch? The Costs of Overdiversification Shawn McKay, Robert Shapiro, Ric Thomas A version of this paper can be … Read more
Much has been made of Factor Investing, and even Vanguard is launching a suite of actively-managed factor ETFs. But even … Read more
Many investors, investment professionals, and pundits make comments regarding the relationship between stock correlations and opportunities for active stock pickers. … Read more
Do political connections help or hinder SEC oversight? Jonas Heese, Mozaffar Khan, Karthik Ramanna Journal of Accounting and Economics A version … Read more
Unless you live under a rock, you’ve probably heard that Professor Richard Thaler earned the recent Nobel Prize. (The University of … Read more
Strategic Asset Allocation-Combining Science and Judgment to Balance Short Term and Long Term Goals Peng Wang and Jon Spinney A … Read more
The subject of asset bubbles and market crashes has fascinated me for more than 20 years. As an options market … Read more
Regression analysis is used all the time to assess how a portfolio “loads” on certain factors. The most common factor … Read more
Social Screens and Systematic Boycott Risk H. Arthur Luo and Ronald J. Balvers Journal of Financial and Quantitative Analysis A … Read more
This article examines a somewhat over-looked, but important, discussion that raged among academic researchers in the late 1990’s and early … Read more
Stick to the Fundamentals and Discover Your Peers Jean Overgaard Knudsen, Simon Kold and Thomas Plenborg A version of this … Read more
Genetic programming optimization for a sentiment feedback strength based trading strategy Steve Y.Yang, Sheung Yin Kevin Mo, AnqiLiu, Andrei A.Kirilenko … Read more
Trend-following strategies have historically been laughed at via the modern academic finance research community. Having first-hand knowledge of that community, … Read more