March 1, 2013 - Big Ideas, Individual Gurus
…Carly Garner’s A Trader’s First Book on Commodities is a well-calibrated introduction (as advertised) to trading commodity futures and options, but readers will have to dig deeper for robust investigations of trading strategies.
February 28, 2013 - Volatility Effects
Do low-beta equity strategies work differently for industries and countries compared to individual stocks? In their January 2013 paper entitled “The Low Risk Anomaly: A Decomposition into Micro and Macro Effects”, Malcolm Baker, Brendan Bradley and Ryan Taliaferro decompose the low-beta anomaly into individual stock (micro) and industry/country (macro) components. To study individual stock versus industry… Keep Reading
February 27, 2013 - Equity Options, Sentiment Indicators
The conventional wisdom is that a high (low) ratio of equity put option volume to equity call option volume is bullish (bearish) because it indicates that investors are overly pessimistic (optimistic). Alternative measurements of the U.S. equity market put-call ratio are total options, index options and individual equity options. Index and equity option buyers may… Keep Reading
February 26, 2013 - Equity Premium, Volatility Effects
Do returns for country stock markets vary systematically with the return volatilities of those markets? In their December 2012 paper entitled “Are Investors Compensated for Bearing Market Volatility in a Country?”, Samuel Liang and John Wei investigate the relationships between monthly returns and both total and idiosyncratic volatilities for country stock markets. They measure total… Keep Reading
February 25, 2013 - Buybacks-Secondaries
Has the market evolved to extinguish exploitability of reactions to corporate stock buyback and secondary offering activities? In their December 2012 draft paper entitled “The Persistence of Long-Run Abnormal Stock Returns: Evidence from Stock Repurchases and Offerings”, Fangjian Fu and Sheng Huang compare recent (2003-2010) long-run abnormal returns following U.S. corporate stock buyback and Seasoned… Keep Reading
February 22, 2013 - Technical Trading
Do trading rules based on price relative to intermediate-term and long-term simple moving averages (SMA) outperform a buy-and-hold approach for all kinds of stocks and stock portfolios? In the January 2013 update of his paper entitled “Market Timing with Moving Averages”, Paskalis Glabadanidis examines SMA performance based on monthly returns. He uses an SMA measurement… Keep Reading
February 21, 2013 - Strategic Allocation
In the current environment of low bond yields, what is a safe investment withdrawal rate during retirement? In their January 2013 paper entitled “The 4% Rule is Not Safe in a Low-Yield World”, Michael Finke, Wade Pfau and David Blanchett model the risk of exhausting wealth for different retirement durations, withdrawal rates, stocks-bonds portfolio mixes… Keep Reading
February 20, 2013 - Fundamental Valuation, Technical Trading
Are there exploitable long-term cycles in U.S. stock market returns? In the January 2013 update of his paper entitled “Secular Mean Reversion and Long-Run Predictability of the Stock Market”, Valeriy Zakamulin explores mean reversion of the S&P Composite Index over intervals ranging from two to 40 years. He then runs an out-of-sample horse race using… Keep Reading
February 19, 2013 - Volatility Effects
How does volatility interact with market beta? In his 2012 paper entitled “Volatility and Compounding Effects on Beta and Returns”, William Trainor investigates the performance of stocks sorted on market beta overall and during intervals of low and high market volatility. He considers both ideal (theoretical) betas and betas estimated from lagged returns. He defines low… Keep Reading
February 18, 2013 - Commodity Futures, Currency Trading
…Carly Garner’s A Trader’s First Book on Commodities is a well-calibrated introduction (as advertised) to trading commodity futures and options, but readers will have to dig deeper for robust investigations of trading strategies.