Do predictive powers of the size, value and momentum factors observed for individual stocks translate to the country level? In the November 2014 version of his paper entitled “Country Selection Strategies Based on Value, Size and Momentum”, Adam Zaremba...
Are publicly traded Master Limited Partnerships attractive investments? In their June 2014 paper entitled “Master Limited Partnerships (MLPs)”, Frank Benham, Steven Hartt, Chris Tehranian and Edmund Walsh describe and summarize the aggregate performance and characteristics...
Does quantitative technical analysis work reliably in currency trading? If so, where does it work best? In their May 2013 paper entitled “Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-Scale, Data-Snooping Robust Analysis...
In which country stock markets is technical analysis likely to work best? In the October 2014 version of her paper entitled “Technical Analysis: A Cross-Country Analysis”, Jiali Fang investigates three potential cross-country determinants of technical trading profitability: An individualism...
Do factor models predict returns for corporate bonds as they do for stocks? In their October 2014 paper entitled “Factor Investing in the Corporate Bond Market”, Patrick Houweling and Jeroen van Zundert develop and test a four-factor (size, low-risk,...
Is the Commodity Trading Advisor (CTA) segment so crowded that flows of funds into or out of them around the turn of the month materially affect prices? In the October 2014 version of his paper...
Is there a way to predict when stock price momentum strategies will thrive or crash? In the October 2014 update of their draft paper entitled “Time-Varying Momentum Payoffs and Illiquidity”, Doron Avramov, Si Cheng and Allaudeen...
What conditions foretell stock momentum strategy crashes? In their October 2014 paper entitled “Momentum Trading, Return Chasing, and Predictable Crashes”, Benjamin Chabot, Eric Ghysels and Ravi Jagannathan examine stock momentum strategy performance for both widely used historical U.S. data...
Do expected investment returns as predicted by experts in surveys reliably predict actual future returns? In the October 2014 version of their preliminary paper entitled “Survey Expectations of Returns and Asset Pricing Puzzles”, Ralph Koijen, Maik Schmeling and Evert...
Are gains from tax-loss harvesting, the systematic taking of capital losses to offset capital gains, additive to or subtractive from premiums from portfolio tilts toward common factors such as value, size, momentum and volatility (smart beta)?...
Which is the better equity investment strategy: (1) a consistent portfolio tilt toward one or a few factors widely accepted, based on linear regression backtests, as effective in selecting stocks with above-average performance (smart beta); or, (2) a...
Is the market beta of a stock stable across measurement frequencies and measurement intervals? In their October 2014 paper entitled “Which Is the Right ‘Market Beta’?: 1,385 US Companies and 147 Betas/Company in a Single Date”, Jose Paulo...
How should researchers address the issue of aggregate/cumulative data snooping bias, which derives from many researchers exploring approximately the same data over time? In the October 2014 version of their paper entitled “. . ....
Does compounding rules tend to improve the performance of stock-picking strategies? In the October 2014 draft of their paper entitled “Does Complexity Imply Value, AAII Value Strategies from 1963 to 2013”, Wesley Gray, Jack Vogel and Yang Xu compare 13...
Is more clearly better in terms of number of factors included in a stock screening strategy? In the October 2014 draft of their paper entitled “Incremental Variables and the Investment Opportunity Set”, Eugene Fama and Kenneth French...
Are the widely used Fama-French three-factor model (market, size, book-to-market ratio) and the Carhart four-factor model (adding momentum) the best factor models of stock returns? In their September 2014 paper entitled “Digesting Anomalies: An Investment Approach”, Kewei Hou, Chen...
Does the Capital Asset Pricing Model (CAPM) make predictions useful to investors? In his October 2014 paper entitled “CAPM: an Absurd Model”, Pablo Fernandez argues that the assumptions and predictions of CAPM have no basis in the...
Can the U.S. stock market continue to deliver its historical return? In the preliminary draft of his paper entitled “A Pragmatist’s Guide to Long-run Equity Returns, Market Valuation, and the CAPE”, John Golob poses two...
How much distortion can data snooping inject into expected investment strategy performance? In their October 2014 paper entitled “Statistical Overfitting and Backtest Performance”, David Bailey, Stephanie Ger, Marcos Lopez de Prado, Alexander Sim and Kesheng Wu...
What’s the latest research on portfolio construction and risk management? In the the introduction to the July 2014 version of his (book-length) paper entitled “Many Risks, One (Optimal) Portfolio”, Cristian Homescu states: “The main focus of...
A reader inquired about the validity of Martin Zweig’s Four Percent Model, which states (from pages 93-94 of the 1994 version of Martin Zweig’s Winning on Wall Street): “The Four Percent Model for the stock...
Do U.S. television events that draw large attentive audiences have an effect on the stock prices of main corporate sponsors? In the September 2014 version of his paper entitled “Investor Attention and Stock Prices: Evidence from a...
In the preface to his 2015 book entitled Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, author Gary Antonacci states: “We need a way to earn long-term above-market returns while limiting our downside exposure....
How do commodity futures behave in the post-financialization era, with commodities easily accessible via exchange-traded instruments and futures? In their September 2014 paper entitled “Factor Structure in Commodity Futures Return and Volatility”, Peter Christoffersen, Asger Lunde and Kasper...
Is there a simple way to tell whether a commodity is overvalued or undervalued? In his May 2014 presentation package entitled “Commodity ‘CAPE Ratios'”, Claude Erb looks at long-term real commodity prices as valuation “crutches” to estimate when...