Classic value investing à la Graham & Dodd (Security analysis: The classic, McGrawHill, New York, 1934) focuses on selecting stocks that seem cheap relative to their intrinsic and fundamental quality. We use Bayesian inference account for a large amount of uncertainty within estimation. find an undervalued-minus-overvalued factor invests in quality sells expensive junk selected via yields high ...

We theoretically analyze how index investing affects financial markets using a dynamic exchange economy with heterogeneous investors and two Lucas trees. identify effects of indexing: lockstep trading stocks increases market volatility stock return correlations but reduction in risk sharing decreases them. Overall, indexing has an ambiguous effect on the correlations. Also, investor’s welfare, ...

contrarian and momentum investing strategies are two techniques which are used in stock markets to enhance portfolio return. contrarian investing strategy states that stocks which had better performances in the past should be sold and stocks that had poor performances should be bought. in practice, this strategy is used for a package of stocks and for portfolio formation. the main objective of ...

In this paper the principal-agent models between the investor and the manager of the open-ended fund are made from the new view about the liquidity risk management, and the optimal contracts and optimal policies are obtained in closed form by solving these modes. By the analysis of the optimal contract, we find that the fixed compensation of manager is the positive relationship with redemption ...

We propose an adaptive, sequential methodology for testing multiple hypotheses. Our methodology consists of a new criterion, the excess discovery count (EDC), and a new class of testing procedures that we call alpha-investing rules. The excess discovery count is the difference between the number of correctly rejected null hypotheses and a fraction of the total number of rejected hypotheses. EDC...

Little is known about the connection between demography and dispersal in metapopulations. The meta-analysis of the population time series of five butterfly species indicated that (meta)population dynamics are driven by density-dependent factors. Inter-specific comparison reveals a significant inverse relationship between population growth rate and the magnitude of dispersal distance. As the ran...

Executive Summary There is a well-known concept in the software industry...Three years from now, no one will remember if you shipped an amazing software release a few months late. What they will still remember is if you shipped a software release that wasn't ready. It takes multiple subsequent product releases to change people's quality perception about a single bad one. As we evolve into a new...