This is a summary of links featured on Quantocracy on Thursday, 01/14/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Data Sources for R [Revolutions]Over the past few months, a number of new CRAN packages have appeared that make it easier for R users to gain access to curated data. Most of these provide interfaces to a RESTful API written by the data publishers while a few just wrap the data set inside the package. Some of the new packages are only very simple, one function wrappers to the API. Others offer more features providing functions to
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Value Investing: Accruals, Cash Flows, and Operating Profitability [Alpha Architect]Accruals are the non-cash component of earnings. They represent adjustments made to cash flows to generate a profit measure largely unaffected by the timing of receipts and payments of cash. Prior research finds that expected returns increase in firm profitability. However, firms with high accruals generate lower returns than firms with low accruals, and this "accrual anomaly"
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Noise Kills Profits (Machine Learning with Genotick) [Throwing Good Money]A reader on my blog (Thanks Kris!) suggested that I explore how much noise is needed to send Genotick off the deep end. Youll recall from my earlier post on the subject that I was looking for hidden biases that Genotick might have, and explored how it responded to pure and noisy sine waves of data. For those just catching up, Genotick is a free, open-source machine-learning price-prediction
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A Multiples-Based Decomposition of the Value Premium [Quantpedia]We use industry multiples-based market-to-book decomposition of Rhodes-Kropf, Robinson and Viswanathan (2005) to study the value premium. The market-to-value component drives all of the value strategy return, while the value-to-book component exhibits no return predictability in both portfolio sorts and firm-level return regressions controlling for other stock characteristics. Prior results in the
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Panic Selling, a Pause, Then Another Smash… [Don Fishback]Early this week, Rob Hanna at Quantifiable Edges put out some research showing what happens when you get Repeated Hard Selling at Intermediate-Term Lows. The definition he used was: S&P 500 ($SPX) closes down more than 1% for three straight days. Each close is a new 20-day low. The final close on the third day is below the 200-day moving average. Last Friday satisfied that criteria. Rob
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Complacent Correction Cause For Concern? [Dana Lyons]Despite recent stock market carnage, the reaction by the VIX has been a relative yawner. Well, the New Year hangover continues. Another day, another drubbing in the stock market. With indices pushing double digit losses just 8 days into the new year, it certainly seems reasonable to expect some panic on the part of investors. However, at least based on one metric, market participants have remained