This is a summary of links featured on Quantocracy on Thursday, 12/10/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Value Investing Requires Patience…a LOT of Patience-Ask Cliff Asness [Alpha Architect]Value investing was a lot easier in 2012 and 2013 when our value approach beat the market by a substantial margin and we had a reasonable edge on other active value players. But now that we have lived through 2014 and 2015, most value approaches (simple, complex, quant, human, small, large, etc.) have some degree of suckiness. If you dont believe us, check our post on The Value Pain
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Attention and Acceleration [Factor Wave]One of our readers, Corey Hoffstein, told me about an interesting paper, Investor Attention, Visual Price Pattern, and Momentum Investing, by Li-Wen Chen and Hsin-Yi Yu. Their basic idea is that investors are drawn to stocks that have attention grabbing behavior. And the thing that most grabs attention is gains, particularly consistent gains. Under this hypothesis, momentum is
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A Whole Lot Of New Lows For A Market Near Its High [Dana Lyons]Another day, another piece of evidence that the stock market is not what it may appear to be by looking at the major averages. I place the quotes around market as the word has a very different meaning to us than it seems to have for the superficial market observer or at least mainstream financial media types. When you hear on TV, etc., what the market did on a particular day, it