Equities
Gordon Ritter - Senior Portfolio Manager - GSA Capital | June 16, 2016
In this presentation, Gordon discusses how to recast “insider sentiment news” as a factor in a multifactor model in the style of Ross’ APT, and go on to study the associated Markowitz portfolios.
Lakonishok and Lee (2001) examine whether company insiders earn abnormal returns from their purchasing activity. Similarly Ikenberry, Lakonishok, and Vermielen (1995) investigate whether companies that announce open market share repurchase programs earn abnormal returns in subsequent years. It makes sense to view both kinds of activity in a unified way, as both are indicative of positive sentiment by agents (such as corporate directors) who have a clear informational advantage over other market participants.
In this presentation, Gordon re-examines this classic anomaly in a modern context, by utilizing a real-time news feed from Ravenpack to identify insider transactions and open-market share repurchase programs. He discusses how to recast “insider sentiment news” as a factor in a multifactor model in the style of Ross’ APT, and go on to study the associated Markowitz portfolios.
Please use your business email. If you don't have one, please email us at info@ravenpack.com.
We will process your personal data with the purpose of managing your personal account on RavenPack and offering our services. You can exercise your rights of access, rectification, erasure, restriction of processing, data portability and objection by emailing us at privacy@ravenpack.com. For more information, you can check out our Privacy Policy.
Your request has been recorded and a team member will be in touch soon.
High inflation has returned in developed markets after decades of lying low. In our latest paper, we show how to build an inflation-based asset allocation strategy using sentiment data and we illustrate that sentiment-based strategies outperform models that depend merely on past observed inflation values.
This year's RavenPack Research Symposium brought two intense days of knowledge sharing in London and New York, from 25 top experts in natural language processing, quantitative investing and machine learning. Together, we explored how firms can leverage new language models to generate alpha, better manage risk and respond to calls for more sustainable investment practices.
Human capital is at the heart of value creation. Our latest research demonstrates how unprecedented workforce insights, sourced from over 200 million job postings, can generate more alpha.