Research
Research and working notes on markets, models and portfolio management.
A published anomaly earns 12.3% a year over sixty years of US data; seven years of Australian data give a t-statistic of 1.0. What a short sample can say, how microstructure can fake a result, and a protocol that makes either answer informative.
Read the pieceA brief literature review of attention, herding, lottery demand, the disposition effect and extrapolation, including conflicting findings.
Read the pieceInvestors who must trade leave predictable footprints. Three simulations show how the obvious measurements misread them, why competing anticipators can erase the reversal studies look for, and a one-page card that prevents both mistakes.
Read the piece“Buy” is not an instruction. A forecast curve, a liquidity profile and a cost model together determine a trading path. Three results every portfolio manager should know, and a toy optimiser that shows them.
Read the pieceThe same model can sit inside very different investment processes. A closer look at data, judgment, evaluation and implementation.
Read the pieceAn event study of intraday 8-K filings from 2015 to 2025, comparing three generations of sentiment models and what their results suggest about technology, alpha decay and trading returns.
Read the paper (PDF)Winning a forecasting test is not the same as replacing a job. What the research supports, and what it leaves unanswered.
Read the pieceAccounting identities, factor regressions and investment skill are different claims. Two synthetic examples show what reconciliation proves, how scaling changes attribution, and why a fitted residual is not evidence of alpha.
Read the pieceThe same price path can produce several different decay curves. A worked example separates marked returns, delayed entry and hindsight opportunity—and explains what a decision-relevant cost of waiting must specify.
Read the pieceThis material is for information only. It is not investment advice or a recommendation to trade. See each paper for its methodology and full disclaimer.
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