Category Archive for: ‘Turnkey Research Note’
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Can We Make Money off of Investors’ Limited Attention?
Limited Attention and Asset Price Efficiency: Evidence from NYSE Opening and Closing Ceremonies Steve Crawford, Wesley Gray (me!), and Shastri Sandy A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our free Academic Alpha Database! Abstract: The limited …
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Go Long…Make Money. Go Short…Make Money. All Good.
Limited Attention and the Earnings Announcement Returns of Past Stock Market Winners David Aboody, Reuven Lehavy, and Brett Trueman A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our free Academic Alpha Database! Abstract: We document that …
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Don’t Follow the Institutional Herds over the Long-Term?
Institutional Trade Persistence and Long-term Equity Returns Amil Dasgupta, Andrea Prat, and Michela Verardo A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our free Academic Alpha Database! Abstract: Recent studies show that single-quarter institutional herding positively …
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Random Tactical Asset Allocation–A Gut Check!
I spend way too much time thinking about tactical asset allocation (TAA). I estimate we have tested around a 1000 perturbations of TAA models (maybe more). Some models work well, others not so well. After torturing the data like no other, a lightbulb went off …
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Follow the Trend AND the Sell-Side!
Large Price Changes and Subsequent Returns Suresh Govindaraj, Joshua Livnet, Pavel G. Savor, and Chen Zhao A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our free Academic Alpha Database! Abstract: We investigate whether large stock price …
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