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- Altus Pharmaceuticals Inc. Q3 2008 Earnings Call Transcript
- Penwest Pharmaceuticals Co. Q3 2008 Earnings Call Transcript
- Animal Health International Inc. F1Q09 (Qtr End 09/30/08) Earnings Call Transcript
- Coherent, Inc. F4Q08 (Qtr End 09/27/08) Earnings Call Transcript
- Nektar Therapeutics Q3 2008 Earnings Call Transcript
- Verenium Corporation Q3 2008 Earnings Call Transcript
- Crystal River Capital, Inc. Q3 2008 Earnings Call Transcript
- Dress Barn Inc. F1Q09 (Qtr End 10/25/08) Earnings Call Transcript
- Semtech Corporation F3Q09 (Qtr End 10/26/08) Earnings Call Transcript
- Woodward Governor Co. F4Q08 (Qtr End 09/30/08) Earnings Call Transcript
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WorldBeta
20 Comments
100% Cash and Out of Sample Returns
papers.ssrn.com/sol3/p...
15 Value Hedge Funds - Portfolio Update
Fox - I simply picked 10 funds that have historically been considered value investors - and I define that as buying something for less than it is worth.
User 164258 - you are correct and the glitch is fixed on my blog. . .
Tracking Mean Reversion After Bad Months
Tracking Mean Reversion After Bad Months
I agree with you for the most part, and I examined a similar vol clustering in an old post on World Beta. Shoot me an email when you get the chance.
Top 10 Payout Yield Stocks
Over a year and a half ago I profiled an academic paper by Boudoukh, Michaely, Richardson, and Roberts is titled, "On the Importance of Payout Yield".
Dividends are only one way of returning capital to shareholders. Share repurchases are another such method (see MSFT), and since they are not taxed like dividends, it can be argued they are a more efficient way of returning profits. Buybacks represent about half of all shareholder payouts, and have increased steadily since the early 1980's. There is a structural reason for this, and is due primarily to the SEC instituting rule 10b-18 in 1982 - providing a safe harbor for firms conducting repurchases from stock manipulation charges. See Grullon and Michaely [2002] for more info on the impact of Rule 10b-18.
The authors of the above paper examined the payout yield and net payout yield, whose formula is:
Payout Yield = $ spent on dividends + $ spent on share repurchases
(Net payout is simply subtracting the $ raised through new share issues to the above formula)
The authors find that "the widely documented decline in the predictive power of dividends for excess stock returns is due largely to the omission of alternative channels by which firms distribute and receive cash from shareholdlers." Additionally, while dividend yield has lost its predictive ability over time, the payout yield has remained a robust indicator for excess stock return.
About a year later I posted a review of another academic paper titled "Asset Growth and the Cross-Section of Stock Returns" by Schill, Gulen, and Cooper. This paper is even more encompassing. It basically says a decrease in total assets is good - things like dividends, buybacks, spinoffs, and paying down debt. Ominous signs for future stock performance - acquistions, share issuances, borrowing, and sitting on lots of cash.
My article is only an update to these previous articles and hlighlights the terrible performance of two strategies that rely on dividend based screens.
Warren Buffett - Portfolio Holdings
Leading Hedge Funds' Best Ideas for 2008
tinyurl.com/37wufg
Following Asset Class Returns
It is simply the stream of returns prior to the current year. So, if f at the beginning of 2008 the returns for 2005, 2006, and 2007 were 7%, -15%, -3% the heading would be + - -.
Warren Buffett's Stake in Rockies' Victory; Hedging The Series
Replicate The Yale Endowment With These ETFs
I listed more asset classes here because different people use various combinations in their portfolios. In my paper I only used 5. Subsequent research has shown that more asset classes can improved risk adjusted returns - again, buried in the archives on my blog.
An Endowment Portfolio From Publicly-Traded Vehicles
www.londonstockexchang...
An Endowment Portfolio From Publicly-Traded Vehicles
worldbeta.blogspot.com...
An Endowment Portfolio From Publicly-Traded Vehicles
worldbeta.blogspot.com...
Lazy ETF Portfolios Inspired By The Gurus
Lazy ETF Portfolios Inspired By The Gurus
papers.ssrn.com/sol3/p...