WorldBeta's Comments RSS Syndication from SeekingAlpha.com http://seekingalpha.comuser/38112/comments http://seekingalpha.com/article/173460-tactical-asset-allocation-based-on-the-yield-curve?source=feed#comment-762344 762344
www.mebanefaber.com/20.../]]> Mon, 16 Nov 2009 13:46:56 -0500
www.mebanefaber.com/20.../]]> http://seekingalpha.com/article/167675-how-to-avoid-the-next-galleon-group-or-madoff?source=feed#comment-725376 725376
www.mebanefaber.com/20.../]]> Thu, 22 Oct 2009 12:27:17 -0400
www.mebanefaber.com/20.../]]> http://seekingalpha.com/article/150726-what-a-difference-a-year-makes-endowment-buy-and-hold-and-tactical-returns?source=feed#comment-599803 599803
Thanks for the read! And PS, SA only pulls some of my posts, you can find them all on my blog World Beta.]]> Thu, 23 Jul 2009 14:27:31 -0400
Thanks for the read! And PS, SA only pulls some of my posts, you can find them all on my blog World Beta.]]> http://seekingalpha.com/article/150030-2009-investment-returns-timing-model-vs-endowment-model?source=feed#comment-597256 597256
PS, thanks for the read!]]> Tue, 21 Jul 2009 18:49:05 -0400
PS, thanks for the read!]]> http://seekingalpha.com/article/145000-simple-momentum-rotation-results?source=feed#comment-571828 571828 Thu, 02 Jul 2009 13:18:43 -0400 http://seekingalpha.com/article/146011-rotation-and-timing-models-combined?source=feed#comment-571823 571823 Thu, 02 Jul 2009 13:17:38 -0400 http://seekingalpha.com/article/134755-stocks-vs-bonds-return-statistics?source=feed#comment-489239 489239
Regardless, the 60/40 had a 60% drawdown in the 1930's. . . ]]> Mon, 04 May 2009 16:09:14 -0400
Regardless, the 60/40 had a 60% drawdown in the 1930's. . . ]]> http://seekingalpha.com/article/126960-timing-the-nasdaq-composite?source=feed#comment-437486 437486
www.mebanefaber.com/20.../]]> Mon, 23 Mar 2009 21:17:46 -0400
www.mebanefaber.com/20.../]]> http://seekingalpha.com/article/117439-a-simple-post-on-gold?source=feed#comment-371363 371363
"Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis.” - Osler, The Journal of Finance 58(2003):

"This paper shows that requested execution rates for stop-loss and take-profit orders cluster at round numbers, consistent with existing evidence on limit orders in stock markets. Its also shows that the pattern of clustering differs across order types and could produce the price behaviors predicted by technical analysis. Executed take-profit orders cluster more strongly at round numbers than do stop loss orders. Since take-profit orders should tend to reverse price trends, exchange rates should tend to reverse course at round numbers when they hit take-profit dominated order flow. Executed stop-loss buy orders cluster most strongly just above round numbers, and executed stop-loss sell orders cluster most strongly just below round numbers. Since stop-loss orders should tend to propagate trends, exchange rate trends should be relatively rapid after the rate crosses a round number and hits stop-loss dominated order flow."]]> Fri, 30 Jan 2009 14:21:41 -0500
"Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis.” - Osler, The Journal of Finance 58(2003):

"This paper shows that requested execution rates for stop-loss and take-profit orders cluster at round numbers, consistent with existing evidence on limit orders in stock markets. Its also shows that the pattern of clustering differs across order types and could produce the price behaviors predicted by technical analysis. Executed take-profit orders cluster more strongly at round numbers than do stop loss orders. Since take-profit orders should tend to reverse price trends, exchange rates should tend to reverse course at round numbers when they hit take-profit dominated order flow. Executed stop-loss buy orders cluster most strongly just above round numbers, and executed stop-loss sell orders cluster most strongly just below round numbers. Since stop-loss orders should tend to propagate trends, exchange rate trends should be relatively rapid after the rate crosses a round number and hits stop-loss dominated order flow."]]> http://seekingalpha.com/article/113825-timing-model-equity-curves?source=feed#comment-350047 350047
papers.ssrn.com/sol3/p...]]> Thu, 08 Jan 2009 15:31:38 -0500
papers.ssrn.com/sol3/p...]]> http://seekingalpha.com/article/108867-the-capitalism-distribution-fat-tails-in-motion?source=feed#comment-320240 320240 Wed, 03 Dec 2008 17:12:27 -0500 http://seekingalpha.com/article/99162-100-cash-and-out-of-sample-returns?source=feed#comment-277968 277968
papers.ssrn.com/sol3/p...]]> Thu, 09 Oct 2008 14:57:58 -0400
papers.ssrn.com/sol3/p...]]> http://seekingalpha.com/article/91944-15-value-hedge-funds-portfolio-update?source=feed#comment-235840 235840
Fox - I simply picked 10 funds that have historically been considered value investors - and I define that as buying something for less than it is worth.

User 164258 - you are correct and the glitch is fixed on my blog. . .
]]> Thu, 21 Aug 2008 15:13:17 -0400
Fox - I simply picked 10 funds that have historically been considered value investors - and I define that as buying something for less than it is worth.

User 164258 - you are correct and the glitch is fixed on my blog. . .
]]> http://seekingalpha.com/article/83451-tracking-mean-reversion-after-bad-months?source=feed#comment-197439 197439 worldbeta.blogspot.com...]]> Wed, 02 Jul 2008 15:06:24 -0400 worldbeta.blogspot.com...]]> http://seekingalpha.com/article/83451-tracking-mean-reversion-after-bad-months?source=feed#comment-197410 197410
I agree with you for the most part, and I examined a similar vol clustering in an old post on World Beta. Shoot me an email when you get the chance.
]]> Wed, 02 Jul 2008 14:21:57 -0400
I agree with you for the most part, and I examined a similar vol clustering in an old post on World Beta. Shoot me an email when you get the chance.
]]> http://seekingalpha.com/article/82193-top-10-payout-yield-stocks?source=feed#comment-190486 190486
Over a year and a half ago I profiled an academic paper by Boudoukh, Michaely, Richardson, and Roberts is titled, "On the Importance of Payout Yield".

Dividends are only one way of returning capital to shareholders. Share repurchases are another such method (see MSFT), and since they are not taxed like dividends, it can be argued they are a more efficient way of returning profits. Buybacks represent about half of all shareholder payouts, and have increased steadily since the early 1980's. There is a structural reason for this, and is due primarily to the SEC instituting rule 10b-18 in 1982 - providing a safe harbor for firms conducting repurchases from stock manipulation charges. See Grullon and Michaely [2002] for more info on the impact of Rule 10b-18.

The authors of the above paper examined the payout yield and net payout yield, whose formula is:

Payout Yield = $ spent on dividends + $ spent on share repurchases
(Net payout is simply subtracting the $ raised through new share issues to the above formula)

The authors find that "the widely documented decline in the predictive power of dividends for excess stock returns is due largely to the omission of alternative channels by which firms distribute and receive cash from shareholdlers." Additionally, while dividend yield has lost its predictive ability over time, the payout yield has remained a robust indicator for excess stock return.

About a year later I posted a review of another academic paper titled "Asset Growth and the Cross-Section of Stock Returns" by Schill, Gulen, and Cooper. This paper is even more encompassing. It basically says a decrease in total assets is good - things like dividends, buybacks, spinoffs, and paying down debt. Ominous signs for future stock performance - acquistions, share issuances, borrowing, and sitting on lots of cash.

My article is only an update to these previous articles and hlighlights the terrible performance of two strategies that rely on dividend based screens. ]]> Sun, 22 Jun 2008 19:52:50 -0400
Over a year and a half ago I profiled an academic paper by Boudoukh, Michaely, Richardson, and Roberts is titled, "On the Importance of Payout Yield".

Dividends are only one way of returning capital to shareholders. Share repurchases are another such method (see MSFT), and since they are not taxed like dividends, it can be argued they are a more efficient way of returning profits. Buybacks represent about half of all shareholder payouts, and have increased steadily since the early 1980's. There is a structural reason for this, and is due primarily to the SEC instituting rule 10b-18 in 1982 - providing a safe harbor for firms conducting repurchases from stock manipulation charges. See Grullon and Michaely [2002] for more info on the impact of Rule 10b-18.

The authors of the above paper examined the payout yield and net payout yield, whose formula is:

Payout Yield = $ spent on dividends + $ spent on share repurchases
(Net payout is simply subtracting the $ raised through new share issues to the above formula)

The authors find that "the widely documented decline in the predictive power of dividends for excess stock returns is due largely to the omission of alternative channels by which firms distribute and receive cash from shareholdlers." Additionally, while dividend yield has lost its predictive ability over time, the payout yield has remained a robust indicator for excess stock return.

About a year later I posted a review of another academic paper titled "Asset Growth and the Cross-Section of Stock Returns" by Schill, Gulen, and Cooper. This paper is even more encompassing. It basically says a decrease in total assets is good - things like dividends, buybacks, spinoffs, and paying down debt. Ominous signs for future stock performance - acquistions, share issuances, borrowing, and sitting on lots of cash.

My article is only an update to these previous articles and hlighlights the terrible performance of two strategies that rely on dividend based screens. ]]> http://seekingalpha.com/article/66498-warren-buffett-portfolio-holdings?source=feed#comment-120649 120649 Fri, 29 Feb 2008 10:54:01 -0500 http://seekingalpha.com/article/66182-leading-hedge-funds-best-ideas-for-2008?source=feed#comment-120304 120304
tinyurl.com/37wufg]]> Thu, 28 Feb 2008 13:55:29 -0500
tinyurl.com/37wufg]]> http://seekingalpha.com/article/65785-following-asset-class-returns?source=feed#comment-118555 118555
It is simply the stream of returns prior to the current year. So, if f at the beginning of 2008 the returns for 2005, 2006, and 2007 were 7%, -15%, -3% the heading would be + - -.]]> Sun, 24 Feb 2008 22:48:49 -0500
It is simply the stream of returns prior to the current year. So, if f at the beginning of 2008 the returns for 2005, 2006, and 2007 were 7%, -15%, -3% the heading would be + - -.]]> http://seekingalpha.com/article/51559-warren-buffett-s-stake-in-rockies-victory-hedging-the-series?source=feed#comment-100079 100079 Sat, 27 Oct 2007 19:36:38 -0400 http://seekingalpha.com/article/48469-replicate-the-yale-endowment-with-these-etfs?source=feed#comment-97282 97282
I listed more asset classes here because different people use various combinations in their portfolios. In my paper I only used 5. Subsequent research has shown that more asset classes can improved risk adjusted returns - again, buried in the archives on my blog.]]> Mon, 01 Oct 2007 10:49:37 -0400
I listed more asset classes here because different people use various combinations in their portfolios. In my paper I only used 5. Subsequent research has shown that more asset classes can improved risk adjusted returns - again, buried in the archives on my blog.]]> http://seekingalpha.com/article/36694-an-endowment-portfolio-from-publicly-traded-vehicles?source=feed#comment-87515 87515
www.londonstockexchang...]]> Fri, 01 Jun 2007 18:26:39 -0400
www.londonstockexchang...]]> http://seekingalpha.com/article/36694-an-endowment-portfolio-from-publicly-traded-vehicles?source=feed#comment-87199 87199
worldbeta.blogspot.com...]]> Tue, 29 May 2007 14:44:38 -0400
worldbeta.blogspot.com...]]> http://seekingalpha.com/article/36694-an-endowment-portfolio-from-publicly-traded-vehicles?source=feed#comment-87198 87198
worldbeta.blogspot.com...]]> Tue, 29 May 2007 14:43:40 -0400
worldbeta.blogspot.com...]]> http://seekingalpha.com/article/27167-lazy-etf-portfolios-inspired-by-the-gurus?source=feed#comment-81717 81717 Thu, 22 Feb 2007 12:21:07 -0500 http://seekingalpha.com/article/27167-lazy-etf-portfolios-inspired-by-the-gurus?source=feed#comment-81716 81716
papers.ssrn.com/sol3/p...]]> Thu, 22 Feb 2007 12:20:22 -0500
papers.ssrn.com/sol3/p...]]> http://seekingalpha.com/article/26659-real-estate-stocks-are-done-really?source=feed#comment-81357 81357
AI should take those historical yields back to the 1970s, data is available for all of the indices with the exception of emerging markets. . .]]> Mon, 12 Feb 2007 13:17:02 -0500
AI should take those historical yields back to the 1970s, data is available for all of the indices with the exception of emerging markets. . .]]> http://seekingalpha.com/article/21491-strategies-in-tactical-asset-allocation?source=feed#comment-80924 80924 Thu, 01 Feb 2007 20:58:41 -0500 http://seekingalpha.com/article/25510-so-you-want-to-invest-like-buffett-here-s-an-easy-trick?source=feed#comment-80923 80923
Tough to get data pre-2000 for lots of the funds. . .lemme know if you can find it!]]> Thu, 01 Feb 2007 20:57:13 -0500
Tough to get data pre-2000 for lots of the funds. . .lemme know if you can find it!]]> http://seekingalpha.com/article/23359-mean-reversion-when-there-is-blood-in-the-streets-it-s-time-to-buy?source=feed#comment-79606 79606
Stay tuned - I'll publish it around the end of January. . .]]> Wed, 03 Jan 2007 17:09:24 -0500
Stay tuned - I'll publish it around the end of January. . .]]>