This is a summary of links featured on Quantocracy on Friday, 07/17/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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High Conviction Buybacks [Investor’s Field Guide]Large U.S. companies spent nearly half a trillion dollars on net buybacks (cash spent on buybacks less cash raised through issuance) during the 12 months ending 6/30/2015. Thats almost as much as the buyback peak in 2007, which didnt turn out too well. Scary! But hold on. Something that gets lost beneath this broader trend is the level of conviction that the companies r
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The Price Factor [Factor Wave]Stock splits lower the stock price. But what does that mean? Most straightforwardly, do lower price stocks perform better than higher priced stocks? Soosung Hwang and Chensheng Lu examined this and published their results in the paper, "Is Share Price Relevant?". They used survivor-adjusted data for the major US exchanges from 1963 to 2006 and each year formed portfolios co
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Daily Academic Alpha: Why Women Should make MORE than Men… [Alpha Architect]As the proud father of 3 kids (to include 2 daughters), this set of papers, while a bit off the wall, made me smile a bit. In short, there seems to be a negative relationship between women and lawsuitsthe more women surround an organization, the less legal trouble the organization faces. It would be great if the relationship was 100% causal, but the data dont
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Active Investment Managers and Market Timing [CXO Advisory]Do active investment managers as a group successfully time the stock market? The National Association of Active Investment Managers (NAAIM) is an association of registered investment advisors. NAAIM member firms who are active money managers are asked each week to provide a number which represents their overall equity exposure at the market close on a specific day