Helix Partners

We’ve just updated the reference section of the website with 22 new citations. One of the highlights in explanatory factor research is a set of 3 papers on the information contained in short sales. There is also some great work in a paper on the history of predicting the cross-section of stock returns and one concerned with the marginal value of investment research in the first place. Finally, we have research that presents a brand new classification algorithm based on the L-infinity norm that is valuable for the way it deals with both dimensionality and computational complexity.

Read past the break for a few citations of the most interesting papers.

1. Clifford S. Asness, R. Burt Porter, and Ross L. Stevens, “Predicting Stock Returns Using Industry-Relative Firm Characteristics,” February 2000.
2. Steven E. Christophe, Michael G. Ferri, and Jim Hsieh, “Informed Trading Before Analyst Downgrades: Evidence from Short Sellers,” October 2008, http://ssrn.com/abstract=1108162.
3. Hemang Desai, Srinivasan Krishnamurthy, and Kumar Venkatamaran, “The Role of Fundamental Analysis in Information Arbitrage: Evidence from Short Seller Recommendations,” May 2007.
4. Andy C. W. Chui, Sheridan Titman, and K. C. John Wei, “The Cross-Section of Expected REIT Returns,” March 3, 2003.
5. Avanidhar Subrahmanyam, “The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research?,” August 31, 2009.
6. Bradford Cornell, “Investment Research: How Much is Enough?,” June 2009, http://ssrn.com/abstract=1439951.
7. John Dai and Suresh Sundaresan, “Risk Management Framework for Hedge Funds Role of Funding and Redemption Options on Leverage,” July 2009, http://ssrn.com/abstract=1439706.
8. Leland Wilkinson, Anushka Anand, and Dang Nhon Tuan, “Linf: An L-infnity Classifier.”
9. Zhihua Zhang, Guang Dai, and Michael I. Jordan, “A Flexible and Efficient Algorithm for Regularized Fisher Discriminant Analysis.”