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...
Does availability of liquid tracking products change short-term trending/reversal tendencies of equity indexes? In their May 2016 paper entitled “Indexing and Stock Market Serial Dependence Around the World”, Guido Baltussen, Sjoerd van Bekkum and Zhi Da investigate how introduction...
Do data-intensive, high-frequency investor sentiment measurements usefully predict stock index performance? In his May 2016 paper entitled “Can Sentiment Indicators Signal Market Reversals?”, Arnaud Lagarde applies a random forest machine learning algorithm to test the power of Amareos sentiment...
When does a cointegration test, which looks for a connection between two apparently wandering price paths, work for pairs trading? In their May 2016 paper entitled “Cointegration and Relative Value Arbitrage”, Binh Do and Robert Faff investigate the...
Do asset returns exhibit cyclic relative strength? In the December 2015 revision of their paper entitled “Return Seasonalities”, Matti Keloharju, Juhani Linnainmaa and Peter Nyberg examine 12-month relative strength cycles via a strategy that is each month long (short) assets with...
Are prominent stock market bloggers in aggregate able to predict the market’s direction? The Ticker Sense Blogger Sentiment Poll “is a survey of the web’s most prominent investment bloggers, asking ‘What is your outlook on...
Does the January (turn-of-the-year) stock return anomaly affect value and momentum strategies applied at the country stock market level? In his June 2015 paper entitled “The January Seasonality and the Performance of Country-Level Value and Momentum Strategies”, Adam...
A reader asked whether the gold-gold miner stocks arbitrage-like argument in Jay Kaeppel’s February 2010 article “Don’t Give Up On Gold Stocks Just Yet” (for which his September 2004 article “Gold Stock and Gold Bullion” is a...
How good can factor investing get? In his May 2016 paper entitled “Quantitative Style Investing”, Mike Dickson examines strategies that: Aggregate return forecasting power of four or six theoretically-motivated stock factors (or characteristics) via monthly multivariate regressions....
How hard is it to beat equal weighting in constructing a portfolio of attractive common stocks? In his May 2016 paper entitled “Naive Diversification Isn’t so Naive after All”, Mike Dickson compares performances of 15 portfolio...
...evidence from several tests offers mixed support for a belief that the intermediate-term strength/weakness of "risky" stock indexes relative to a "conservative" index generates reliably profitable trading signals. Strength/weakness of the NASDAQ Composite Index relative...
Are any trading strategy backtest performance statistics predictive of out-of-sample results? In their March 2016 paper entitled “All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms”, Thomas...
How does stock pairs trading performance interact with lagged pair correlation and volatility? In her May 2016 paper entitled “Demystifying Pairs Trading: The Role of Volatility and Correlation”, Stephanie Riedinger investigates how stock pair correlation and...
Does the U.S. stock market volatility risk premium (VRP), measured as the difference between the volatility implied by stock index option prices recent actual index volatility, usefully predict stock market returns? To investigate, we consider a simple VRP specification:...
Subscribers have proposed that asset class momentum effects should accelerate (shorter optimal ranking interval) when markets are in turmoil (bear market/high volatility). “Asset Class Momentum Faster During Bear Markets?” addresses this hypothesis in a multi-class, relative momentum...
Do peaks in the S&P 500 Implied Volatility Index (VIX) signal positive abnormal U.S. stock market returns? If so, can investors exploit these returns? In the May 2016 version of his paper entitled “Abnormal Stock Market...
Do asset price series in general reliably exhibit trends and reversals? In his May 2016 paper entitled “Trend, Mean-Reversion or Random Walk? A Statistical Analysis of Price Behavior in Major Markets”, Theo Athanasiadis tests a wide...
Do simple moving averages (SMA) commonly used to identify stock market bull and bear regimes work similarly for the spot gold market? To investigate, we consider two market regime indicators: the 200-day SMA and a...
Is there an objective way to benchmark the performance of trend-following Managed Futures hedge funds? In their March 2016 paper entitled “Adaptive Time Series Momentum – Benchmark for Trend-Following Funds”, Peter Erdos and Gert Elaut test a futures...
Do smart beta indexes efficiently exploit factor premiums? In his April 2016 paper entitled “Factor Investing with Smart Beta Indices”, David Blitz investigates how well smart beta indexes, which deviate from the capitalization-weighted market per mechanical rules,...
How should investors think about stock factor investing? In his April 2016 paper entitled “The Siren Song of Factor Timing”, Clifford Asness summarizes his current beliefs on exploiting stock factor premiums. He defines factors as ways to...