Behavioral finance

Intraday Momentum Confirmed: Day Traders Credited

Mar 24th, 2015 | Filed under: Academic Research, Behavioral finance, CAPM / Alpha Theory, Derivatives, ETFs, Today's Post

The first half-hour return of the S&P 500 ETF predicts the last half-hour return of the same trading day rather well. Why isn't this effect arbitraged away and a random walk restored?

Alpha, Love, and Marriage

Mar 10th, 2015 | Filed under: Academic Research, Alpha Hunters, Behavioral finance, Risk management, Today's Post

The most important turning points of our lives tend to have consequences for our alpha seeking. A new paper gives us some insight into what those consequences are, and how they vary as to strategies.

Money Markets: The Cure to What Ails the Sukuk Space

Dec 22nd, 2014 | Filed under: Behavioral finance, Best Practices, Emerging markets, Today's Post

Two World Bank economists review the impediments that face the growth of the sukuk market, impediments often inherent in the theological precepts that gave rise to it. Part of the solution: well-functioning money markets as a context for sukuk issuance.

Stop Draghi[ng] My Heart Around

Nov 9th, 2014 | Filed under: Behavioral finance, Currencies, Today's Post

Draghi and Yellen seem to be headed in opposite directions. One is revving up the money-creation engine, the other is 'tapering.' So why is Yellen so publicly supportive of Draghi? And what happened to the rebellion within the ECB?

Hedge vs. Mutual Funds and the ‘Timing of Information Acquisition’

Oct 28th, 2014 | Filed under: Academic Research, Behavioral finance, CAPM / Alpha Theory, Today's Post

A new paper by a scholar at the McCombs School of Business looks at what causes what on Wall Street, starting with how (if at all) analyst downgrades cause price declines.

Hong Kong Shariah-Compliant Launch Sells

Sep 22nd, 2014 | Filed under: Behavioral finance, Best Practices, Emerging markets, Today's Post

If I should declare that I will never eat duck, and then I simply re-name certain ducks “chickens” and eat them, then people who genuinely as a matter of principle refuse to eat duck may consider me a false friend. And those who have no objection to the eating of duck may think me a silly goose.

Betting on Vice Doesn’t Really Pan Out

Sep 9th, 2014 | Filed under: Alpha Strategies, Behavioral finance, CAPM / Alpha Theory, Social investing, Today's Post

Christopher Faille, inspired by Greg Richey, of California State University, San Bernardino, has a few words about socially irresponsible investing, that is, the creation of a portfolio built around destructive human vices.

A Finalized Basel Rule: News and Views

Apr 16th, 2014 | Filed under: Behavioral finance, Derivatives, Risk management, Today's Post

But Basel is still part of the multinational push to fit the peg of credit derivatives into the square hole of standardized contracts and central clearing. Is the peg going to fit?

Mapping Investor Behavior

Nov 21st, 2013 | Filed under: Alpha Strategies, Behavioral finance, Institutional Investing, Retail Investing, Risk management, Today's Post

Guest columnists from Tesseract Asset Management look at investor behavior and risk management.

A Model for PE Managers and Their Scholars

Aug 28th, 2013 | Filed under: Academic Research, Behavioral finance, Private Equity, Today's Post

Two scholars have published a new model of private equity funds, looking for the real drivers of abnormal returns by process of elimination.

Natural-Language Processing: After the Initial Buzz

Jun 10th, 2013 | Filed under: Alpha Seekers, Alpha Strategies, Behavioral finance, Today's Post

You can't expect to harvest much alpha if you simply buy on good sentiment as measured through news or on the web, and sell on negative sentiment. As the authors of this white paper put it in quant-speak, such predictive value as these measures have 'does not translate ... cleanly into return space.'"

Time Flies and Statistics Lag: Thoughts on Factors

Aug 14th, 2012 | Filed under: Asset pricing, Behavioral finance, Today's Post

Clifford Asness and Andrea Frazzini show that an important detail in the way scholars go about studying factor pricing and behavioral finance is seriously flawed. The detail in question dates to an influential paper by Eugene Fama and Kenneth French, "The Cross-Section of Expected Stock Returns," (1992).

Efficiency May Be Special Case of Adaptation

Apr 24th, 2012 | Filed under: Alpha Strategies, Behavioral finance, Hedge Fund Strategies, Today's Post

In a new paper, Andrew Lo has educed from his Adaptive Markets Hypothesis five practical conclusions, among them that during times of crisis, the usual positive relationship between risk and return may not hold. There is in general a "time-varying and often negative relationship between the two."