Diogenes Decisions

[diogenes]

Just a thought:
FX markets appear to behave, in the short term, in vary narrow ways.

Mean-reverting seems to be the case here.

[diogenes]

This week:

HAS 0.215
AVT 0.476
AL 0.347

For a month:

KBALB 0.266
HAS 0.311
CP 0.243
TWX 0.107
AL 0.317
SQA-A 0.235

[diogenes]

Interesting paper, oddly enough free:


Commonality in the Determinants of Expected Stock Returns

-- Abstract --

"Evidence is presented that the determinants of the cross-section of expected stock returns are stable in their identity and influence from period to period and from country to country. The determinants are related to risk, liquidity, price-level, growth potential, and stock price history. Out-of-sample predictions of expected return, using moving average values for the payoffs to these firm characteristics, are strongly and consistently accurate. Two findings, however, distinguish this paper from others in the contemporary literature. First, the stocks with higher expected and realized rates of return are unambiguously of lower risk than the stocks with lower returns. Second, we find that the important determinants of expected stock returns are strikingly common to the major equity markets of the world. Given the nature of the tests, it is highly unlikely that these results may be attributed to bias or data snooping. Consequently, the results seem to reveal a major failure in the Efficient Markets Hypothesis."

http://www.quantitativeinvestment.com/research/common/commonal.html

N.B.
this is my addition.

[diogenes]

Looks to have some interesting data, but I have not checked into it yet:

http://www.nowandfutures.com/index.html

This week:
Tkr: Vol:
IFS 0.339
OTEX 0.279
AW 0.379
TSG 0.125
MENT 0.257
HAS 0.179

[diogenes]

It looks like Tharp has a new edition of “Trade your way to financial freedom” on the way. I think that it might be of interest.
Anyway VIX is a bit interesting at the moment.

http://www.iitm.com/Trade-Your-Way-to-Financial-Freedom.htm

[diogenes]

Sue

Below is a link to a somewhat outdated study on S.U.E. (standardized unexpected earnings). Essentially, it seems that stocks that have “good news” on the way have a tendency to drift upwards prior to the actual release of the news and continue drifting up after the announced “good news.” Also, the converse appears to hold for stocks with “bad news.”

http://www.westga.edu/~bquest/2004/surprises.htm

Edit:
From http://faculty.fuqua.duke.edu/~mbran...orking/ear.pdf

A trading strategy taking long positions in good-news stocks and
short positions in bad-news stocks produces an annual abnormal return of 6.3%.

N.B. This is a working paper and I have not read the entire paper, yet.

[diogenes]

Neat website with a lot of neat info:

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

[diogenes]

Various stocks that have caught my attention:

MKL
IW
ULGX

[diogenes]

Basic postions:

Options:

Put DIA
Call GM (This for a year)

Eq:

Long PSPT
LONG MKL

Coming soon:

Long
IW, ALAN,AFT


Picks come from across models to reduce risk.

[IIC]

Basic postions:

Options:

Put DIA
Call GM (This for a year)

Eq:

Long PSPT
LONG MKL

Coming soon:

Long
IW, ALAN,AFT


Picks come from across models to reduce risk.

Wish you would post your thots more often...Doug

[diogenes]

Wish you would post your thoughts more often...Doug

I will try to keep that in mind.

[Websman]

Wish you would post your thots more often...Doug

wish you could spell...sheesh. jejejeje

[diogenes]

Interesting read about the move, last week, here:

http://www.jasonkelly.com/index.html

[IIC]

wish you could spell...sheesh. jejejeje

I like shortcuts

[Websman]

I like shortcuts

Good point....