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	<title>CXO Advisory &#187; Size Effect</title>
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		<title>Turn of the Year and Size in U.S. Equities</title>
		<link>http://www.cxoadvisory.com/10798/size-effect/turn-of-the-year-and-size-in-u-s-equities/</link>
		<comments>http://www.cxoadvisory.com/10798/size-effect/turn-of-the-year-and-size-in-u-s-equities/#comments</comments>
		<pubDate>Tue, 07 Feb 2012 11:02:13 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Calendar Effects]]></category>
		<category><![CDATA[Size Effect]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=10798</guid>
		<description><![CDATA[The turn of the year (December-January) for the U.S. stock market reportedly includes the Santa Claus rally and the January effect. Some research indicates the latter is dead (and was driven essentially by small-capitalization stocks when alive). How does the stock market behave across the turn of the year for a recent sample? To check, we construct <a href="http://www.cxoadvisory.com/10798/size-effect/turn-of-the-year-and-size-in-u-s-equities/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/10798/size-effect/turn-of-the-year-and-size-in-u-s-equities/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Buyback Size Effect? [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/11485/size-effect/buyback-size-effect/</link>
		<comments>http://www.cxoadvisory.com/11485/size-effect/buyback-size-effect/#comments</comments>
		<pubDate>Wed, 01 Feb 2012 11:09:04 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Buybacks-Secondaries]]></category>
		<category><![CDATA[Size Effect]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=11485</guid>
		<description><![CDATA[Do companies reliably repurchase their stocks at bargain prices, thus providing signals for investors to tag along? In the January 2012 update of their paper entitled &#8220;Do Firms Buy Their Stock at Bargain Prices? Evidence from Actual Stock Repurchase Disclosures&#8221;, Azi Ben-Rephael, Jacob Oded and Avi Wohl use detailed repurchase data from SEC filings since <a href="http://www.cxoadvisory.com/11485/size-effect/buyback-size-effect/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/11485/size-effect/buyback-size-effect/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Doing Momentum with Style (ETFs) Robustness/Sensitivity Tests [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/19129/size-effect/doing-momentum-with-style-etfs-robustnesssensitivity-tests/</link>
		<comments>http://www.cxoadvisory.com/19129/size-effect/doing-momentum-with-style-etfs-robustnesssensitivity-tests/#comments</comments>
		<pubDate>Fri, 20 Jan 2012 15:06:24 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>
		<category><![CDATA[Size Effect]]></category>
		<category><![CDATA[Value Premium]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=19129</guid>
		<description><![CDATA[How sensitive is the performance of &#8220;Doing Momentum with Style (ETFs)&#8221; to selecting ranks other than winners and to choosing a momentum ranking interval other than six months? This strategy each month ranks the following six style exchange-traded funds (ETF) on past return and rotates to the strongest style: iShares Russell 1000 Value Index (IWD) &#8211; large capitalization <a href="http://www.cxoadvisory.com/19129/size-effect/doing-momentum-with-style-etfs-robustnesssensitivity-tests/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/19129/size-effect/doing-momentum-with-style-etfs-robustnesssensitivity-tests/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Doing Momentum with Style (ETFs) [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/13330/size-effect/doing-momentum-with-style-etfs/</link>
		<comments>http://www.cxoadvisory.com/13330/size-effect/doing-momentum-with-style-etfs/#comments</comments>
		<pubDate>Fri, 13 Jan 2012 19:01:00 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>
		<category><![CDATA[Size Effect]]></category>
		<category><![CDATA[Value Premium]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/size-effect/doing-momentum-with-style-etfs/</guid>
		<description><![CDATA[&#8220;Beat the Market with Hot-Anomaly Switching?&#8221; concludes that &#8220;a trader who periodically switches to the hottest known anomaly based on a rolling window of past performance may be able to beat the market. Anomalies appear to have their own kind of momentum.&#8221; Does momentum therefore work for style-based exchange-traded funds (ETF)? To investigate, we apply <a href="http://www.cxoadvisory.com/13330/size-effect/doing-momentum-with-style-etfs/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Style Performance by Calendar Month</title>
		<link>http://www.cxoadvisory.com/3173/size-effect/etf-style-by-calendar-month/</link>
		<comments>http://www.cxoadvisory.com/3173/size-effect/etf-style-by-calendar-month/#comments</comments>
		<pubDate>Thu, 15 Dec 2011 11:01:44 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Calendar Effects]]></category>
		<category><![CDATA[Size Effect]]></category>
		<category><![CDATA[Value Premium]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com.php5-14.websitetestlink.com/?p=3173</guid>
		<description><![CDATA[The Trading Calendar presents full-year and monthly cumulative performance profiles for the overall stock market (S&#38;P 500 Index) based on its average daily behavior since 1950. How much do the corresponding monthly behaviors of the various size and value/growth styles deviate from an overall equity market profile? To investigate, we consider the the following six <a href="http://www.cxoadvisory.com/3173/size-effect/etf-style-by-calendar-month/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/3173/size-effect/etf-style-by-calendar-month/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>When and Why of the Size Effect [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/17582/size-effect/when-and-why-of-the-size-effect/</link>
		<comments>http://www.cxoadvisory.com/17582/size-effect/when-and-why-of-the-size-effect/#comments</comments>
		<pubDate>Mon, 14 Nov 2011 11:02:50 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Economic Indicators]]></category>
		<category><![CDATA[Size Effect]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=17582</guid>
		<description><![CDATA[Does the size effect vary in an usefully predictable way? In the October 2011 revision of his paper entitled &#8220;Predicting the Small Stock Premium Over Diﬀerent Horizons: What Do We Learn About Its Source?&#8221;, Valeriy Zakamuline examines whether eight U.S. market/economic variables exploitably predict the small stock premium at monthly, quarterly, semiannual and annual horizons. The eight <a href="http://www.cxoadvisory.com/17582/size-effect/when-and-why-of-the-size-effect/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/17582/size-effect/when-and-why-of-the-size-effect/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Harvesting Equity Market Premiums [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/17304/size-effect/harvesting-equity-market-premiums/</link>
		<comments>http://www.cxoadvisory.com/17304/size-effect/harvesting-equity-market-premiums/#comments</comments>
		<pubDate>Mon, 31 Oct 2011 10:03:21 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>
		<category><![CDATA[Size Effect]]></category>
		<category><![CDATA[Strategic Allocation]]></category>
		<category><![CDATA[Value Premium]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=17304</guid>
		<description><![CDATA[Should investors strategically diversify across widely known equity market anomalies? In the October 2011 version of his paper entitled &#8220;Strategic Allocation to Premiums in the Equity Market&#8221;, David Blitz investigates whether investors should treat anomaly portfolios (size, value, momentum and low-volatility) as diversifying asset classes and how they can implement such a strategy.  To ensure implementation is <a href="http://www.cxoadvisory.com/17304/size-effect/harvesting-equity-market-premiums/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/17304/size-effect/harvesting-equity-market-premiums/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Statistically Recasting the Big Three Anomalies [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/17262/size-effect/statistically-recasting-the-big-three-anomalies/</link>
		<comments>http://www.cxoadvisory.com/17262/size-effect/statistically-recasting-the-big-three-anomalies/#comments</comments>
		<pubDate>Fri, 28 Oct 2011 10:03:14 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Momentum Investing]]></category>
		<category><![CDATA[Size Effect]]></category>
		<category><![CDATA[Value Premium]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=17262</guid>
		<description><![CDATA[Do the size effect, value premium and momentum effect derive from common firm/stock characteristics other than size, book-to-market ratio and past return? In the October 2011 version of their paper entitled &#8220;Which Firms Are Responsible for Characteristic Anomalies? A Statistical Leverage Analysis&#8221;, Kevin Aretz and Marc Aretz statistically isolate and analyze the small minority of firms <a href="http://www.cxoadvisory.com/17262/size-effect/statistically-recasting-the-big-three-anomalies/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/17262/size-effect/statistically-recasting-the-big-three-anomalies/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Size Effect and the Economy [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/16903/size-effect/size-effect-and-the-economy/</link>
		<comments>http://www.cxoadvisory.com/16903/size-effect/size-effect-and-the-economy/#comments</comments>
		<pubDate>Wed, 12 Oct 2011 10:10:13 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Economic Indicators]]></category>
		<category><![CDATA[Size Effect]]></category>
		<category><![CDATA[Value Premium]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=16903</guid>
		<description><![CDATA[Does the size effect vary with the state of the economy? In his October 2010 paper entitled &#8220;The Behaviour of Small Cap vs. Large Cap Stocks in Recessions and Recoveries: Empirical Evidence for the United States and Canada&#8221;, Lorne Switzer examines the relative performance of small versus large capitalization stocks around economic peaks and troughs (per NBER <a href="http://www.cxoadvisory.com/16903/size-effect/size-effect-and-the-economy/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/16903/size-effect/size-effect-and-the-economy/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Best Style by Investment Horizon [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/15670/size-effect/best-style-by-investment-horizon/</link>
		<comments>http://www.cxoadvisory.com/15670/size-effect/best-style-by-investment-horizon/#comments</comments>
		<pubDate>Wed, 17 Aug 2011 10:08:23 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Size Effect]]></category>
		<category><![CDATA[Value Premium]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=15670</guid>
		<description><![CDATA[Should investors with different horizons prefer different styles (large versus small capitalization and value versus growth)? In their 2010 paper entitled &#8220;Time, Risk and Investment Styles&#8221;, Zugang Liu and Jia Wang investigate how equity investment style risks vary with investment horizon. They focus on the downside of asset returns rather than overall volatility to measure risk, arguing <a href="http://www.cxoadvisory.com/15670/size-effect/best-style-by-investment-horizon/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/15670/size-effect/best-style-by-investment-horizon/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
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