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Is Smart Money Smart? The Costs of Hedge Funds Trading Market Anomalies
By Matthew J. Farrell Do hedge funds earn statistically significant premia on common factor trading strategies after trading costs are accounted for? Furthermore, what is the gap between what a hedge fund would earn and the paper portfolios that they hold? I answer this question by using the latest cutting-edge methodology to estimate trading costs […]
Determinants of NFL Spread Pricing: Incorporation of Google Search Data Over the Course of the Gambling Week
By Shiv S. Gidumal and Roland D. Muench We investigate the factors that Las Vegas incorporates into opening spreads for NFL matchups. We include a novel proxy measure for gambler sentiment constructed with Google search data. We then investigate whether changes in this proxy are reflected in the closing spreads for NFL matchups and find […]
Google Search Volume Index: Predicting Returns, Volatility and Trading Volume of Tech Stocks
By Rui Xu This paper investigates the efficacy of using Google Search Volume Index (SVI), a publicly available tool Google provides via Google Trends, to predict stock movements within the tech sector. Relative changes in weekly search volume index are recorded from April 2004 to March 2015 and correlated with weekly returns, realized volatility and […]
Multiples Valuation and Abnormal Returns
By Joon Sang Yoon I investigate whether three commonly used valuation multiples—the Price-to-Earnings Ratio, the EV-to-EBITDA multiple, and the EV-to-Sales multiple—can be used to identify mispriced securities. I find that multiples are successful in identifying mispricing in both the equal and value weighted portfolios relative to the One-Factor CAPM. I further find, after controlling for […]
