Is expected crude oil price volatility (risk) an important economic indicator, thereby influencing stock market and individual stock returns? In their February 2014 paper entitled “Oil Risk Exposure and Expected Stock Returns”, Peter Christoffersen and...
Are Google Trends data an independently useful tool in predicting stock returns? In their March 2014 paper entitled “Do Google Trend Data Contain More Predictability than Price Returns?”, Damien Challet and Ahmed Bel Hadj Ayed apply non-linear...
Does aggregate short interest serve as an intermediate-term stock market indicator based on either momentum (shorting begets shorting) or reversion (covering follows shorting)? To investigate, we relate the behavior of NYSE aggregate short interest with...
Is there a way to avoid the stock momentum crashes that occur when the positive feedback loop between past and future returns breaks down? In his November 2013 paper entitled “Crowded Trades, Short Covering, and...
Do implications of equity option prices predict returns for underlying stocks? In their December 2013 paper entitled “Option-Implied Volatility Measures and Stock Return Predictability” Xi Fu, Eser Arisoy, Mark Shackleton and Mehmet Umutlu compare the abilities...
How do gold and gold miner stocks interact? In his February 2014 presentation package entitled “A Golden Bet: Gold Miner Equities versus Gold”, Claude Erb examines the long-run relationship between gold and a gold miner...
A subscriber flagged an apparently very attractive exchange-traded fund (ETF) momentum-volatility-correlation strategy that, as presented, generates a optimal compound annual growth rate of 45.7% with modest maximum drawdown. The strategy chooses from among the following...
Are currency traders the last ones to know? In the February 2014 draft of their paper entitled “Cross-Asset Return Predictability: Carry Trades, Stocks and Commodities”, Helen Lu and Ben Jacobsen investigate whether commodity and stock...
Are there parallels at the country stock market level of the size, value and momentum effects observed for individual stocks? In their January 2014 paper entitled “Value, Size and Momentum across Countries”, Adam Zaremba and Przemysław Konieczka investigate...
Does the variation of individual stock returns with liquidity support an investment style? In the January 2014 update of their paper entitled “Liquidity as an Investment Style”, Roger Ibbotson and Daniel Kim examine the viability and...
A reader observed: “One of the problems with simple moving average (SMA) crossing rules is the churning from random price movements across the average. Lars Kestner proposes improvements to SMA crossing rules that signal: BUY...
Does a stronger stock price trend, up or down, indicate a bigger momentum effect? In their February 2014 paper entitled “Trend Salience, Investor Behaviors and Momentum Profitability”, Paul Docherty and Gareth Hurst test variations of...
Pairs traders often use a normalized price gap threshold of two standard deviations to generate signals for opening trades. Is there a better metric for generating these signals? In the January 2014 version of their...
Do economic indicators usefully predict government bond returns? In the January 2014 version of their paper entitled “What Drives the International Bond Risk Premia?”, Guofu Zhou and Xiaoneng Zhu examine whether OECD-issued leading economic indicators...
Is the conventional wisdom that traders can scalp part of cash dividends by buying stocks just before ex-dividend day and selling just after reliable across exchanges? In their January 2014 paper entitled “Ex-Dividend Day Stock...
Under what conditions is periodic rebalancing a successful “volatility harvesting” strategy? In his February 2014 paper entitled “Disentangling Rebalancing Return”, Winfried Hallerbach analyzes the return from periodic portfolio rebalancing by decomposing its effects into a...
Has easy access to commodity allocations via exchange-traded instruments (financialization) changed the way commodity prices interact with the economy? In his February 2014 paper entitled “Macroeconomic Determinants of Commodity Returns in Financialized Markets”, Adam Zaremba...
Does the cost of borrowing shares of a stock for shorting predict its future returns? In their January 2014 paper entitled “The Shorting Premium and Asset Pricing Anomalies”, Itamar Drechsler and Qingyi (Freda) Drechsler investigate...
What drives the performance of risk parity asset allocation, and on what asset classes does it therefore work best? In their January 2014 paper entitled “Inter-Temporal Risk Parity: A Constant Volatility Framework for Equities and...
Is it possible to predict serial correlation (autocorrelation) of stock returns, and thereby enhance reversal and momentum strategies. In the January 2014 version of his paper entitled “The Information Content of Option Prices Regarding Future Stock...
Are gold price movements predictable? In his December 2013 paper entitled “Gold. The Bursting of a Bubble?”, Tim Verheyden assesses gold price predictability in two ways. First, he applies an autoregressive integrated moving average (ARIMA) model...
What individual investment behaviors are worst? In their January 2014 paper entitled “Which Investment Behaviors Really Matter for Individual Investors?”, Joachim Weber, Steffen Meyer, Benjamin Loos and Andreas Hackethal investigate relationships between the following ten tendencies...
Is the level of uncertainty among equity investors, as measured by the dispersion of S&P 500 Index option volume across strike prices, a useful predictor of stock market direction? In their January 2014 paper entitled...
What factors truly explain movements in the price of gold? In his January 2014 paper entitled “Facts and Fantasies about Gold”, Joachim Klement checks the validity of common explanations for changes in gold price. Specifically, he...
Can investors quickly exploit surprising after-hours firm earnings/revenue announcements by trading after hours? In the January 2014 version of his paper entitled “Slow Price Adjustment to Public News in After-Hours Trading”, Jiasun Li investigates after-hours (4:00 pm...