Below is a weekly summary of our research findings for 1/7/19 through 1/11/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs.
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- Momentum and Stock Return Dispersion
Evidence indicates that stock price momentum is an inferior proxy for stock sensitivity to overall return dispersion across stocks. - Does Active Stock Factor Timing/Tilting Work?
Evidence indicates that, despite elaborate strategies, active factor timing and tilting offer little or no improvements over equal factor weighting on a net basis, with turnover frictions generally offsetting any gross improvements. - Aggregate Patent Value as Stock Return Predictor
Evidence indicates that market-determined and depreciated aggregate value of firm patents may usefully predict stock returns. - Pump-and-Dump Participation/Losses
Evidence indicates that about 6% of retail German investors participate in pump-and-dump schemes and lose badly on associated trades. - Robustness of SACEMS Based on Sharpe Ratio
Evidence from multiple tests on available data suggests that Sharpe ratio-ranked SACEMS is not superior enough to raw return-ranked SACEMS to justify changing the baseline strategy. In fact, the final test suggests that the former may be especially lucky when using the baseline lookback interval.
