Do central banks predictably influence the price of gold? In the July 2016 revision of his paper entitled “Central Banks and Gold”, Dirk Baur examines interactions of central bank gold reserves, gold carry trade profitability and gold...
As summarized in “Twisting Buffett’s Preferred Stocks-bonds Allocation”: (1) Warren Buffett’s preferred fixed asset allocation of 90% stocks and 10% short‐term government bonds (90-10), rebalanced annually, is sensible for U.S. markets; and, (2) investors may be able to beat this...
Is recent weakness in the stock return momentum anomaly, perhaps representing market adaptation to widespread anomaly exploitation, permanent or transitory? In their July 2016 paper entitled “Where Has the Trend Gone? An Update on Momentum Returns...
Do global equity market behaviors support the hypothesis that intermediate-term momentum drives stock prices beyond fundamental values, thereafter driving long-term reversion? In their June 2016 paper entitled “Overreaction and the Cross-Section of Returns: International Evidence”, Douglas Blackburn and Nusret...
Does the Fama-French five-factor model of stock returns (employing market, size, book-to-market, investment and profitability factors) explain the outperformance of low-volatility stocks. In their July 2016 paper entitled “The Profitability of Low Volatility”, David Blitz and Milan Vidojevic examine...
What are the principal strategies for exploiting the volatility and volatility skew risk premiums? In his May 2016 workshop presentation package entitled “Volatility Modelling and Trading”, Artur Sepp provides an overview of systematic volatility risk premium capture strategies. He...
Can hedge fund managers reliably time eight factors explaining multi-class asset returns: equity market; size; bond market; credit spread; trend-following for bonds, currencies and commodities; and, emerging markets? In their July 2016 paper entitled “Timing is Money:...
Can investors avoid strategy flame-outs associated with overly enthusiastic backtesting (overfitting)? In his July 2016 paper entitled “Limitations of Quantitative Claims About Trading Strategy Evaluation”, Michael Harris presents two examples that demonstrate a key limitation of trading...
Do stock returns during extended market hours (4:00PM-8:00PM and 4:00AM-9:30AM) reliably predict subsequent returns during normal market hours? In their July 2016 paper entitled “Are Extended Hours Prices Predictive of Subsequent Stock Returns?”, Shai Levi, Joshua Livnat, Li Zhang...
Extended stock market index winning and losing streaks elicit speculation about pending reversals. Does evidence support the what-goes-up-must-come-down view that likelihood of reversal grows with streak duration and magnitude? To check, we examine the “modern”...
What is the best way to combine styles (smart betas) in one portfolio? In their June 2016 paper entitled “Long-Only Style Investing: Don’t Just Mix, Integrate”, Shaun Fitzgibbons, Jacques Friedman, Lukasz Pomorski and Laura Serban compare two approaches to long-only...
How should investors think about investing in crude oil? In their June 2016 paper entitled “Understanding Oil Investing”, Ludwig Chincarini, John Love and Robert Nguyen examine oil investing, with emphasis on differences in behaviors between non-investable spot oil...
Do equity trade recommendations from technical analysis experts beat the market? In his February 2016 paper entitled “Are Chartists Artists? The Determinants and Profitability of Recommendations Based on Technical Analysis”, Dirk Gerritsen evaluates technically based buy...
Does trading of out-of-the-money (OTM) equity options expose exploitable private information? In their July 2016 paper entitled “Stock Return Predictability of Out-of-the-Money Option Trading”, Chang Mo Kang, Donghyun Kim and Geul Lee investigate relationships between OTM option trading volume...
What variables best predict U.S. stock market returns? In his June 2016 paper entitled “Which Variables Predict and Forecast Stock Market Returns?”, David McMillan examines the power of 25 variables to predict excess return (relative to the 3-month...
Does trading in stock index options exploitably predict the behavior of the stock market? In their June 2016 paper entitled “The Informational Role of Index Option Trading”, Tarun Chordia, Alexander Kurov and Avanidhar Subrahmanyam examine the relationship...
Does timing of factor premiums work? In his June 2016 paper entitled “My Factor Philippic”, Clifford Asness addresses three critiques of the exploitability of stock factor premiums: Most factors are currently very overvalued (expected premiums are small),...
Should investors focus on past Sharpe ratio when picking individual stocks? In their June 2016 paper entitled “Don’t Stand So Close to Sharpe”, Angel Leon, Lluis Navarro and Belen Nieto compare 32 past performance metrics for effectiveness in selecting large...
How do individual currency traders view their trading experience? In his June 2016 paper entitled “Retail FX Trader Survey Results”, Chris Davison reports results of an anonymous survey of retail currency traders asking 14 questions about the way...
Is nearness to 52-week highs or lows informative about future stock returns? In their June 2016 paper entitled “Nearness to the 52-Week High and Low Prices, Past Returns, and Average Stock Returns”, Li-Wen Chen and Hsin-Yi Yu...
Can computer software extract exploitable sentiments about individual stocks as conveyed by news articles? In their June 2016 paper entitled “News Versus Sentiment: Predicting Stock Returns from News Stories”, Steven Heston and Nitish Sinha test whether firm...
Should investors believe that the financial industry can offer low-cost, liquid funds that reliably mimic Commodity Trading Advisor (CTA) hedge funds? In their June 2016 paper entitled “Just a One Trick Pony? An Analysis of...
Can systematic, contrarian sports betting usefully diversify conventional investments? In their June 2016 paper entitled “Sports Betting As a New Asset Class: Can a Sports Trader Beat Hedge Fund Managers from 2010-2016?”, Lovjit Thukral and Pedro Vergel investigate whether...
Do volume spikes in specific equity options signal abnormal returns for underlying stocks? In his June 2016 paper entitled “Investor Attention Strategy”, Xuewu Wang examines the motivation, construction and profitability of a strategy that selects stocks based...
Matt Hall, cofounder and president of Hill Investment Group, introduces his 2016 book, Odds On: The Making of an Evidence-Based Investor, by stating that: “…the evidence-based movement has been studying market data and academic research to identify the...