A new stock screen to exploit a market quirk

To state the bleeding obvious, investors like it when a stock hits a new high. But what if price highs are linked to something less obvious, namely the efficiency with which a company’s earnings are interpreted?

That’s a key insight from a recent paper by Tobias Kalsbach and Steffen Windmüller of the Technical University of Munich (TUM), which regular readers may remember from a column I wrote in the magazine earlier this month (‘A simple way to add more 'alpha' to your portfolio’).