Quant Mashup - Alpha Architect
Overnight Momentum vs. Intraday Momentum [Alpha Architect]
We decompose the abnormal profi
ts associated with well-known patterns in the cross-section of expected returns into their overnight and intraday components. We show that, on average, all of the abnormal returns on momentum strategies remarkably occur overnight while the abnormal profi
ts on the
- 10 years ago, 12 Feb 2015, 12:49pm -
Are Some Decisions to Allocate to U.S. Equities Due to Survivorship Bias? [Alpha Architect]
The primary driver of long-horizon wealth is expected returns. Why would you invest in anything but stocks? Why isn’t your portfolio 100% stocks? Do you believe stocks are going to have the highest return? By the way, stocks have averaged 10% a year for a long period of time. Bonds have averaged
- 10 years ago, 10 Feb 2015, 08:59pm -
The Impact of Cash Flow on Asset Allocation Decisions [Alpha Architect]
nvestors trying to make decisions on how to invest their savings face many complications that are frequently ignored in research papers on asset allocation. Often, it is assumed that a fixed lump sum of money is invested. But this is rarely the case in real world investing for the individual
- 10 years ago, 9 Feb 2015, 12:33pm -
For an Auditor, Intuition Might Matter! [Alpha Architect]
Based on psychology theory, we propose that intuition can be a key element stimulating auditor skepticism, whereas overreliance on analytical processing can overwhelm auditors’ intuition thereby reducing skepticism. We test our expectations with an experiment containing responses from 85 senior
- 10 years ago, 6 Feb 2015, 09:04pm -
Another Wall Street Scheme: "Juicers" [Alpha Architect]
Some mutual funds purchase stocks before dividend payments to artificially increase their dividends, which we call "juicing." Funds paid more than twice the dividends implied by their holdings in 7.4% of fund-years examined. Juicing is associated with larger inflows, and is more common
- 10 years ago, 5 Feb 2015, 07:04am -
Quantitative Momentum Research: Price and Earnings Momentum [Alpha Architect]
We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. Market risk,
- 10 years ago, 3 Feb 2015, 07:30am -
Fundamental Investors Following Insider Filings--Beware! [Alpha Architect]
We use a large recent sample of Form 4 insider trading filings to provide evidence on the process through which SEC filings are disseminated via EDGAR. We find that while the delay from a filing’s acceptance by EDGAR to its initial public availability on the SEC website is relatively short, with a
- 10 years ago, 2 Feb 2015, 02:13pm -
Manliness implies Misreporting? [Alpha Architect]
We examine the relation between a measure of male CEOs’ facial masculinity and financial misreporting. Facial masculinity is associated with a complex of masculine behaviors (including aggression, egocentrism, risk-seeking, and maintenance of social status) in males. One possible mechanism for
- 10 years ago, 30 Jan 2015, 04:56pm -
Help on an Academic Research Project... [Alpha Architect]
Readers, I need 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 for Alpha Architect. That said, I still conduct "serious" academic research with various colleagues in my
- 10 years ago, 29 Jan 2015, 03:02pm -
Predict Stock Returns Using the TREND of Profitability [Alpha Architect]
This study shows that the recent trajectory of a firm’s profits predicts future profitability and stock returns. The predictive information contained in the trend of profitability is incremental beyond that provided by the profit level, and it is not subsumed by other well-known determinants of
- 10 years ago, 28 Jan 2015, 01:45pm -
Does "Sharpe Parity" work better than "Risk Parity?" [Alpha Architect]
Strategies employing Risk Parity have been favored by mutual funds and other market participants the past few years. The attraction of risk parity strategies is the great story associated with the approach and the historical performance over the past 30 years has been favorable. However, there is an
- 10 years ago, 27 Jan 2015, 04:26pm -
Weekend Geekout: The History of Low Volatility Investing [Alpha Architect]
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 2008, which definitely worth your time to read. Recently he posted an article about the history of Low Volatility Investing and
- 10 years ago, 23 Jan 2015, 06:14am -
Why Indexing and "Smart Beta" Are So Popular [Alpha Architect]
We study the joint determination of fund managers' contracts and equilibrium asset prices. Because of agency frictions, investors make managers' fees more sensitive to performance and benchmark performance against a market index. This makes managers unwilling to deviate from the index and
- 10 years ago, 22 Jan 2015, 12:37pm -
Frequent Trading + Optimistic Analyst Recommendations = Significant Misvaluations! [Alpha Architect]
This paper empirically studies how the interaction between short-term investors and analyst recommendations is related to a speculative component in stock prices. Using a new measure of the holding duration of institutional investors (called Stock Duration), we document that frequently traded stocks
- 10 years ago, 20 Jan 2015, 01:56pm -
Quantitative Value @ $19.99 is Back On!!! [Alpha Architect]
Hi everyone! I am happy to announce that our book shipment has arrived and Quantitative Value is back on the market at $19.99! We ordered 760 copies, but our daily sales have really accelerated as of late, so don't wait to grab a copy. David wasn't smiling this much when we were hand
- 10 years ago, 15 Jan 2015, 04:36pm -
Quantitative Momentum Research: Short-Term Return Reversal [Alpha Architect]
Predictable variation in equity returns might reflect either (1) predictable changes in expected returns or (2) market inefficiency and stock price "overreaction." These explanations can be distinguished by examining returns over short time intervals since systematic changes in fundamental
- 10 years ago, 14 Jan 2015, 03:30pm -
The One Factor To Save Them All--Leverage [Alpha Architect]
Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities
- 10 years ago, 12 Jan 2015, 06:20am -
Quantitative Momentum Research: Long-Term Return Reversal [Alpha Architect]
Research in experimental psychology suggests that, in violation of Bayes' rule, most people tend to “overreact†to unexpected and dramatic news events. This study of market efficiency investigates whether such behavior affects stock prices. The empirical evidence, based on CRSP
- 10 years ago, 9 Jan 2015, 08:05am -