Have regulatory changes, such as the reduction in lag time for reporting insider trades specified by the 2002 Sarbanes-Oxley Act (SOX) from up to 40 calendar days to two business days, improved the informativeness of...
Why does some prior research find that double sorts, first on some non-return variable and then on past returns, enhance momentum strategy performance? Are the enhancements truly distinct from momentum, or do they just pick...
Many asset class allocation, asset valuation/selection and asset return anomaly studies ignore or treat lightly the implications of liquidity constraints. What are those implications and how serious are they? In his December 2010 paper entitled...
Is company financial leverage a useful indicator of future stock returns? In their October 2010 paper entitled “Would You Follow MM or a Profitable Trading Strategy?”, Brian Baturevich and Gulnur Muradoglu test company leverage (gearing...
Information technology has lowered barriers for creating/operating financial asset exchanges (venues for matching supply and demand). Proliferation of low-cost venues elevates competition for investor dollars and tends to depress transaction fees. Automated, broadened supply/demand matching...
Is there a reliable and exploitable cross-sectional relationship between beta and future returns? In the October 2010 draft of their paper entitled “Betting Against Beta”, Andrea Frazzini and Lasse Pedersen investigate exploitability of historical beta...
What is the best way to measure and interpret market reaction to new information? In their October 2010 paper entitled “Measuring Flow Toxicity in a High Frequency World”, David Easley, Marcos López de Prado and...
Funds of hedge funds (FoF) diversify investments across hedge funds to achieve steady return streams. Some FoFs diversify within a single hedge fund strategy (category), while others diversify both within and across hedge fund categories....
Pairs trading seeks to exploit temporary divergences in price between two assets that historically track very closely, taking long/short positions in the relatively undervalued/overvalued pair member to generate small steady profits at low risk. How...
Does the relatively illiquid, opaque, retail environment of over-the-counter (OTC) stocks make them behave differently from comparable listed stocks? In their November 2010 paper entitled “The Cross Section of Over-the-Counter Equities”, Andrew Ang, Assaf Shtauber...
Evidence indicates that 52-week highs may be effective momentum signals for individual stocks, but probably not for major U.S. indexes. What do 52-week highs indicate for emerging markets? In their paper entitled “Predictability of Future...
Is the aggregate effect of technical trading visible and exploitable at the equity index level? In his March 2007 paper entitled “The Interaction between the Aggregate Behavior of Technical Trading Systems and Stock Price Dynamics”,...
Is the aggregate effect of technical trading visible and exploitable in currency exchange rate trading? In his 2008 paper entitled “Aggregate Trading Behaviour of Technical Models and the Yen/Dollar Exchange Rate 1976-2007”, Stephan Schulmeister investigates...
Is technology driving the profitability of technical rules in financial markets from low-frequency trading to high-frequency trading? In his March 2007 paper entitled “The Profitability of Technical Stock Trading Has Moved from Daily to Intraday...
How strongly should investors believe in models of financial markets and asset prices? In his contemplative November 2010 paper entitled “Metaphors, Models & Theories”, Emanuel Derman reflects on the tractability of finance in general and...
Is the size effect broad and dependable, or narrow and erratic (even gone)? In the November 2010 version of his paper entitled “A Literature Review of the Size Effect”, Michael Crain summarizes past research on...
Author Jeff Augen describes his 2010 book Trading Realities: The Truth, the Lies, and the Hype In-Between as “designed to help investors understand the economic and political forces that drive financial markets and to invest...
In his 2010 book Trade the Trader: Know Your Competition and Find Your Edge for Profitable Trading, author Quint Tatro observes that “…what most investors don’t understand as they start to learn their basic technical...
Does pairs trading work for exchange-traded funds (ETF)? In the November 2010 version of their paper entitled “ETF Arbitrage”, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti examine arbitrage opportunities among three dollar-traded ETFs designed to...
Is aggregate equity investor fear multifaceted? In the August 2010 version of his paper entitled “The Equity Fear Premium and Daily Comovements of the S&P 500 E/P ratio and Treasury Yields before and during the...
Author Meir Statman states that his 2010 book What Investors Really Want “is about what we want from our investments. It is about how we think about our investments, how we feel about them, and...
Is pairs trading (buying the loser and selling the winner of close-substitute stocks that have diverged unusually in price) profitable after accounting for reasonable trading frictions? In the November 2010 version of their paper entitled...
A reader asked: “Have you done an analysis of the Barron’s Daily Stock Alert service?” Barron’s recently described the performance of this service during November 2008 through October 2010: “A sure way to beat the...
Are there commodity futures traders who consistently outperform? Who are they? What information do they exploit? In the September 2010 version of their paper entitled “Identifying Informed Traders in Futures Markets”, Raymond Fishe and Aaron...
How has the dramatic increase in trading over the past decade materially affected the stock market environment? In their October 2010 paper entitled “Recent Trends in Trading Activity and Market Quality”, Tarun Chordia, Richard Roll...