Posts filed under “Data Analysis”

New Home Sales: 7 Year Low

There was no good news whatsoever in today’s New Home Sales Data:

• Sales of new-homes dropped nearly 4% in February.

• This is the lowest reading since June
2000, according to Commerce Department data.

• On a year-over-year basis, sales were down 18.3%.

• Inventories of unsold homes rose 1.5% to 546,000. This represents an
8.1-month supply. Marketwatch notes this is the largest inventory in relation to sales since
January 1991.

• On a year-over-year basis, the inventory is up 26.6%. 

•  The
median price rose
2.8% sequentially — down 0.3%  year-over-year basis, to $250,000.

This report is hard to reconcile with last week’s Existing Home Sales; One of them is likely wrong, and I suspect the NAR prepared Existing Home Sales is the dud . . .

Category: Data Analysis, Real Estate

Neutral Bias?

Category: Data Analysis, Federal Reserve

Update: New Home Starts

Category: Data Analysis, Economy, Real Estate

New Home Starts

Category: Data Analysis, Real Estate

What Does Shrinking Equity Supply Mean?

Category: Data Analysis, Investing, Markets

NFP Day (plus, ADP update)

Category: Data Analysis, Economy, Employment, Financial Press

Large 5-day declines and subsequent market performance

Category: Data Analysis, Markets, Psychology, Technical Analysis, Trading

The Value of Fundie Analysts?

Category: Data Analysis, Earnings, Investing, Psychology

Blame the professors: Just as the option backdating scandal started with academic researchers noting mathematical anomalies, so too might the next brewing scandal: the I/B/E/S Analyst ratings back dating scandal.

According to a Barron’s article by Bill Alpert (buried on page 39), several professors have discovered what they describe as 54,729 non-random, ex-post changes out of 280,463 observations — a little over 19.5% of analyst recs (abstract below):

"The professors found
almost 55,000 changes that had been made in the I/B/E/S database of
stock-analyst recommendations maintained by Thomson, the Stamford,
Conn., firm that is a leading vendor of financial data. The alterations
made Wall Street’s record of recommendations look more conservative –
hiding Strong Buy recommendations and adding Sell recommendations from
1993 to 2002. That is a period for which Wall Street has drawn heat and
government sanctions for touting Internet bubble stocks.

As a result of the changes, the stock picks shown in
the database would have created annual gains that were 15% to 42%
better than the originally recorded recommendations, using a trading
strategy based on analysts’ recommendations."

The firms were the most significant participants in the data backdating were also the firms who had the closest relationship between banking and research and were the hardest hit by the Spitzer enforced settlement.

From page four of the academic working paper notes exactly how significant this was:

"Why do the historical data now look different than they once did? The contents of the database changed at some point between September 2002 and May 2004, a period that not only coincided with close scrutiny of Wall Street research by regulators, Congress, and the courts, but also saw a substantial downsizing of research departments at most major brokerage firms in the U.S.

The paper outlines four types of data changes: 1) non-random removal of analyst names from historic recommendations (€œanonymizations€); 2) the addition of new records not previously part of the database; 3) the removal of records that had been in the data; and 4) alterations to historical recommendation levels.

The net result of this was to make many specific trading strategies appear better in retrospect than they actually were.  Buying top rated stocks and shorting lowest rated stocks, based on the changed data, now perform 15.9% to 42.4% better on the 2004 revised data than on the 2002 tape, the professors state.

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Category: Corporate Management, Data Analysis, Earnings, Markets, Psychology

Volatility ReAwakens

Category: Data Analysis, Markets, Psychology, Technical Analysis