How much do equity investors leave on the table by focusing on categories of stocks (industry or style) and paying little attention to individual stocks? In her July 2013 paper entitled “Categorical Thinking in Portfolio...
Can equity funds exploit widely accepted stock return anomalies? In their July 2013 paper entitled “Academic Knowledge Dissemination in the Mutual Fund Industry: Can Mutual Funds Successfully Adopt Factor Investing Strategies?”, Eduard Van Gelderen and...
Are winning (losing) stocks with the strongest upward (downward) acceleration the best bets for a momentum strategy? In their July 2013 paper entitled “Investor Attention, Visual Price Pattern, and Momentum Investing”, Li-Wen Chen and Hsin-Yi...
Is stock return momentum persistent over a very long sample? In their July 2013 paper entitled “212 Years of Price Momentum (The World’s Longest Backtest: 1801 – 2012)”, Christopher Geczy and Mikhail Samonov extend analysis...
How much difference does it make to calculate mutual fund alphas with exchange-traded funds (ETF) rather than ideal (frictionless) indexes/factors? In their November 2012 paper entitled “Mutual Fund’s Net Economic Alpha: Definition and Evidence” Sharon...
Does adding profitability (see “Gross Profitability as a Stock Return Predictor”) to the Fama-French three-factor model of future stock returns result in a better model? In the June 2013 draft of their paper entitled “A Four-Factor Model for the...
What are the trading behaviors of the best-performing hedge funds? In his June 2013 paper entitled “How do Hedge Fund ‘Stars’ Create Value? Evidence from Their Daily Trades”, Russell Jame uses transaction-level data to investigate the...
What initial retirement portfolio withdrawal rate is sustainable over long horizons when, as currently, bond yields are well below and stock market valuations well above historical averages? In their June 2013 paper entitled “Asset Valuations...
Do country economic fundamentals provide exploitable information about future changes in associated currency exchange rates? In the June 2013 version of their paper entitled “Currency Risk Premia and Macro Fundamentals”, Lukas Menkhoff, Lucio Sarno, Maik...
How can investors capture returns from widely accepted risk factors associated with asset classes and subclasses? In the June 2013 version of his book chapter entitled “Factor Investing”, Andrew Ang provides advice on capturing risk...
What do records of actual positions suggest about commodity futures trading success? In the June 2013 version of their paper entitled “Determinants of Trader Profits in Commodity Futures Markets”, Michaël Dewally, Louis Ederington and Chitru...
A subscriber inquired whether the level of momentum (past return) for each asset in the “Momentum Strategy” indicates the level of future return for that asset, and whether extreme negative momentum supports shorting an asset. In...
How does central bank quantitative easing (QE) affect various financial markets? In the May 2013 preliminary and incomplete version of his paper entitled “The Time Horizon of Price Responses to Quantitative Easing”, Harry Mamaysky investigates...
Reversion-to-trend appears to hold in many financial markets. Is this concept exploitable for country stock markets? In their June 2013 paper entitled “Do ‘Dogs of the World’ Bark or Bite? Evaluating a Mean-Reversion-Based Investment Strategy”,...
Do asset classes generally exhibit enough price momentum to make stop-loss and re-entry rules effective for timing them? In his June 2013 paper entitled “Assessing Stop-loss and Re-entry Strategies”, Joachim Klement analyzes four stop-loss and re-entry...
In the introduction to his 2013 book entitled The Alternative Answer: The Nontraditional Investments That Drive the World’s Best-Performing Portfolios, author Bob Rice (Alternative Investment Editor at Bloomberg Television) states that his: “…basic approach is an adaptation...
Is the value premium consistent across equity markets worldwide? In their May 2013 paper entitled “Value around the World”, Nilufer Caliskan and Thorsten Hensyz measure returns for stock portfolios sorted on value in 41 countries...
Are there worldwide anomalies with regard to equity market returns by calendar month? In his June 2013 paper entitled “Stock Market Performance: High and Low Months”, Vichet Sum examines stock market performance in 70 countries...
Is faster-than-exponential asset price growth (acceleration of price increase) inherently unsustainable and therefore predictive of an eventual crash? In his June 2013 paper entitled, “Stock Crashes Led by Accelerated Price Growth”, James Xiong applies both regressions...
In the prologue of their 2013 book entitled Happy Money: The Science of Smarter Spending, authors Elizabeth Dunn and Michael Norton state: “When it comes to increasing the amount of money they have, most people recognize that...
Does the market pay a premium to equity funds with relatively high “bad” (left tail) volatility? In their May 2013 paper entitled “Volatility vs. Tail Risk: Which One is Compensated in Equity Funds?”, James Xiong,...
The Federal Reserve states that open market operations regulate “the aggregate level of balances available in the banking system,” thereby keeping the effective Federal Funds Rate close to a target level. The operations are predominantly...
A reader hypothesized that the Federal Reserve uses Open Market Operations repurchases to stimulate, or prop up, the stock market. The hypothesis supposes that private parties, such as prime brokers, use the funds released by...
Why does the widely cited and intuitive Capital Asset Pricing Model (CAPM) prediction that extra risk (beta) earns extra reward (rate of return) not work for stocks? In their May 2013 paper entitled “Explanations for the...
Has crude oil turned into paper from an investment perspective? In their May 2013 paper entitled “Oil Prices, Exchange Rates and Asset Prices”, Marcel Fratzscher, Daniel Schneider and Ine Van Robays examine relationships between crude...