Monthly Archive for: ‘June, 2011’
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Mission Impossible: beating the market over long periods of time
I’ve been thinking about “extreme” returns recently. After all, who wouldn’t mind earning a few extra bucks in the stock market? We all hear about quantitative strategies that are supposed to earn us 20%, 25%, or even 30%+ returns over long periods by simply “maintaining …
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Textual Analysis and Trading Strategies
When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks. Tim Loughran and Bill McDonald A published version of the paper can be found here. The authors keeps a version of the paper here. The authors keep a financial dictionary database here. Abstract: …
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Great Documentary on Professors
I’ve been traveling the past few weeks–sorry about the lack of activity. Unfortunately, the video is very true to real-life. Many–if not most–professors see themselves as professional researchers, NOT teachers. For all you parents out there looking to drop $50,000 a year on your kid’s …
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More Magic Formula Analysis
As a professor by day, I spend a lot of time doing research and studying financial data. Recently, my research assistant and I have been digging deeper into the magic formula. We simply can’t figure out why the results posted in the Little Book are …
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Follow the Short-Sell Demand
Supply and Demand Shifts in the Shorting Market Lauren Cohen, Karl B. Diether and Chirstopher J. Malloy A version of the paper can be found here. This write-up was adapted from a research report by Haiping Huang, Lin Xiong, Nanxing Wei, Sheng Xu and Sining …