What is the safest way to exploit asset price momentum? In his April 2012 paper entitled “Risk Premia Harvesting Through Momentum” (the National Association of Active Investment Managers’ 2012 Wagner Award winner with different title), Gary Antonacci investigates...
Stock price momentum strategies sometime crash, greatly detracting from long-term performance. Is there a reliable way to avoid the crashes? In the April 2012 version of their paper entitled “Managing the Risk of Momentum”, Pedro...
For which stocks does market-adjusted (idiosyncratic) volatility work as an indicator of future returns (see “No Reward for Risk?”)? In their January 2012 paper entitled “Dissecting the Idiosyncratic Volatility Anomaly”, Linda Chen, George Jiang, Danielle Xu...
Was John Maynard Keynes, famous for contributions to macroeconomic hypotheses, a superior investor? In their March 2012 paper entitled “Keynes the Stock Market Investor”, David Chambers and Elroy Dimson evaluate the investment philosophy, strategies and performance of John...
Has the free flow of capital since the 1990s weakened geographic (country-based) equity market diversification benefits? In their November 2011 paper entitled “Is World Stock Market Co-Movement Changing?”, Douglas Blackburn and N. K. Chidambaran examine recent...
Is there a “correct” (or at least most correct) view of how financial markets work? If so, why do the beliefs of market participants, sophisticated and naive, never converge narrowly to that view? Why do...
How can low-frequency traders save their microscalps from high-frequency traders? In the March 2012 version of their paper entitled “The Volume Clock: Insights into the High Frequency Paradigm”, David Easley, Marcos Lopez de Prado and Maureen O’Hara...
What are typical magnitude and duration of short squeezes? In their March 2012 paper entitled “Short Squeeze”, Wei Xu and Baixiao Liu investigate the dynamics and determinants of short squeezes. They cite the SEC definition: “The term...
How do relevant electronic social networks affect individual investing? In their March 2012 paper entitled “Facebook Finance: How Social Interaction Propagates Active Investing”, Rawley Heimer and David Simon investigate the propagation of active investing strategies within a Facebook-like social...
Michael Dever (founder of Brandywine Asset Management) introduces his 2011 book, Jackass Investing: Don’t Do It, Profit from It, by stating: “…this book is designed to comfortably provide novice investors with a plan to follow to manage...
Where can investors find the best stock market forecasters: academia, banks, government? In the March 2012 draft of his paper entitled “On the Forecasting Quality of Professionals”, Aron Veress compares the stock market forecasting accuracies of...
Are low trading frictions, high trading speed and proliferation of trading strategies elevating market efficiency and thereby extinguishing U.S. stock anomalies? In their March 2012 paper entitled “Trends in the Cross-Section of Expected Stock Returns”, Tarun...
Should investors diversify U.S. equity holdings with S&P 500 volatility index (VIX) futures or exchange-traded notes (ETN) constructed from these futures? In the March 2012 version of their paper entitled “Diversification of Equity with VIX...
Do “new” momentum stocks outperform “old” ones? In the March 2012 version of their paper entitled “Limited Attention, Salience, and Stock Returns” [apparently removed from SSRN, casting doubt on findings], Avanidhar Subrahmanyam, Jason Wei and Hsin-Yi Yu analyze...
In general, when the U.S. stock market goes down, the S&P 500 volatility index (VIX) goes up. VIX is not investable, but VIX futures are available. Are short-term VIX futures a good way to hedge...
Is individual investing truly a tale of woeful mistakes and biases? In their March 2012 paper entitled “No Skill, Mere Luck? – An Analysis of Individual Investors’ Investment Performance”, Andreas Hackethal, Steffen Meyer, Dennis Schmoltzi and...
It is arguable that many exchange-traded fund (ETF) momentum strategy tests derive more from logical/programming simplicity than common portfolio management practices. Does momentum work for portfolios of ETFs when melded with the latter? In his...
Are there market conditions most conducive to stock pairs trading? In their March 2012 paper entitled “Losing Sight of the Trees for the Forest? Pairs Trading and Attention Shifts”, Heiko Jacobs and Martin Weber assess how...
Does political drama take over as the principal driver of U.S. stock market implied volatility during election seasons? In their March 2012 paper entitled “U.S. Presidential Elections and Implied Volatility: The Role of Political Uncertainty”, John Goodell and...
Are there economic and financial variables that meaningfully predict return volatilities of financial markets? In their March 2012 paper entitled “A Comprehensive Look at Financial Volatility Prediction by Economic Variables”, Charlotte Christiansen, Maik Schmeling and Andreas...
Can investors reliably exploit monetary expansion and contraction as signaled by decreases and increases in the Federal Funds Rate (FFR)? In the December 2011 version of his paper entitled “Don’t Fight the Fed!”, Paulo Maio...
Do strategy-based commodity indexes introduced in recent years offer value to investors? In the February 2012 version of their paper entitled “Strategic and Tactical Roles of Enhanced Commodity Indices”, Georgios Rallis, Joelle Miffre and Ana-Maria...
Are there strategic asset allocation methodologies that reliably beat equal weight? In the February 2012 version of their paper entitled “Portfolio Optimization Using Forward-Looking Information”, Alexander Kempf, Olaf Korn and Sven Sassning investigate the performance of...
Is “Shorting Leveraged ETF Pairs” a good idea? In their brief March 2012 paper entitled “Levered ETFs”, Wenxi Jiang and Hongjun Yan examine the returns from matched positions in long and short leveraged exchange-traded funds (ETF). Specifically, they calculate...
What do three prominent academic experts conclude when they review the body of evidence for and against the Efficient Markets Hypothesis (EMH), and therefore the potential benefit of speculation? In the April 2011 version of...