There is a paper by Engelberg, McClean, and Pontiff called “Anomalies and News”. The full paper is worth reading, but the summary is that they find that “anomaly” returns are seven times higher on earnings announcement days and 2 times higher on corporate news days. In total they look at 97 (!) anomalies that have […]
CONTINUE READING >At HTAA, we spend most of our days working on our alpha signals with the goal of delivering worthy models for clients. And at the same time, we realize the importance of execution and how that could potentially impact their experience. We broached the topic of the creation/redemption process and ETF liquidity in a twitter […]
CONTINUE READING >Durable goods are, almost by definition, things that we expect to last for a long time. They are a substantial investment, and the purchase is usually a significant, considered expenditure. According to mainstream economics, a business invests in durable goods based on the expected value of the future profits generated by the goods. But […]
CONTINUE READING >The Baltic Dry Shipping Index (“BDI”) is a freight cost index published by the London Baltic Exchange. The “Baltic” part of the name comes from the exchange. It does not indicate that the index only includes prices from routes in the Baltic Sea. The index includes data from routes all over the world. Road […]
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