German Creamer’s Working Paper is Highlighted

8/29/2013

Deutsche Bank selected Dr. Creamer's paper

Deutsche Bank’s Market Research group selected Professor Creamer’s working paper "Using link mining for investment decisions: Extending the Black-Litterman model" as one of the 5 key papers of the month in the area of quantitative investing. In their issue Markets Research Newsletter for July 2013, Academic Insights, 5 paper’s are selected and analyzed.

The article explains which key papers (listed here) are being highlighted — This month we focus on five papers spanning a range of topics including alpha generation, portfolio construction, and risk management:

  • Investor attention, visual price pattern, and momentum investing, Li-Wen Chen and Hsin-Yi Yu
  • Using link mining for investment decisions: Extending the Black-Litterman model, German Creamer

  • Smart beta strategies: the social responsibility of investment universes does matter, Philippe Bertrand and Vincent Lapointe
  • Time-varying momentum payoffs, Doron Avramov, Si Cheng, and Allaudeen Hameed
  • A four-factor model for the size, value, and profitability patterns in stock returns, Eugene F. Fama and Kenneth R. French

Professor Creamer’s paper is also linked via SSRN in the newsletter.

According to the Newsletter authors: Why (Prof. Creamer's paper) it’s worth reading

In this complex world, extracting information from social networks to obtain useful financial signals is becoming popular. So far, most studies have been focusing on determining “proximity” between companies.  This paper takes a different angle and attempts to forecast earnings surprises using the network of company directors and analysts who cover the companies. This approach could help to disentangle the conflicts of interests between company management, investors and analysts, and hence providing better forecasts for earnings surprises and abnormal returns.

gcreamer@stevens.edu for more information.