Investing and Markets
CXO Advisory Group has posted some interesting pieces lately. In one, they report on a study by David Blitz and Pim van Vliet titled The Volatility Effect: Lower Risk without Lower Return. The study finds evidence that investors overpay for the most volatile stocks (i.e. they underperform on a risk-adjusted basis).
In another piece, they highlight work by Alex Edmans titled "Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices". Edmans finds that companies on Fortune magazine's annual list of the "100 Best Companies to Work for in America" outperform the market.
And finally, they discuss work by Ben Marshall, Rochester Cahan and Jared Cahan titled Does Intraday Technical Analysis in the U.S. Equity Market Have Value?. Their answer seems to be a pretty resounding "no" - they use some pretty rigorous statistically analysis (bootstrapping tests) to examine some 7,846 trading rules from five rule families (Filter, Moving Average, Support and Resistance, Channel Breakouts, and On-Balance Volume). They find that (after adjusting for what's called "data snooping bias") that none of the rules are profitable.
Hal Varian discusses how "A company's stock often does better than the investor who buys the stock".
Dealbreaker discusses issues surrounding insider trading in the credit default swap market.
Bargeron, Schlingemann, Stulz, and Zutter (a group of college professors, not a law firm) recently conducted a study on the differences in gains to target shareholders for takeovers by private vs. publicly owned firms. They find that private acquirers leave less on the table (i.e. the targets get a lower announcement return when the acquirer is a private company). The answer seems to be that private firms' ownership structures lead to better decisions.
Craig Newmark links to a great paper on student evaluations. It's specifically geared towards law school, but it's pretty generalizable, and has a lot of citations to prior work on factors that seem to drive evaluations.
How not to defend your dissertation (HT: Greg Mankiw)
We hold this to be self evident - the Trunk Monkey is hilarious.
Nobel Laureate Vernon Smith talks about Asperger's Syndrome (HT: Craig Newmark).
Saturday Link Dump
Now that the summer's in full swing, it's time to empty out the old Bloglines account and do a link dump. I've been letting things build up, so this is a good opportunity to clean it out while SAS chews through the overly-large data set I'm torturing. So, without further ado, here are some links for your avoidance-behavior use: