Should equity risk premium (ERP) forecasters assume in their models, because stocks always carry risk, that the premium cannot be negative? In their January 2016 paper entitled “Forecasting the Equity Risk Premium: The Ups and...
Do simple ratios such as book-to-market value and earnings-to-market price really identify value stocks? In their January 2016 paper entitled “Facts About Fictional Value Investing”, U-Wen Kok, Jason Ribando and Richard Sloan examine the effectiveness of “value” investing as implemented via sorts...
Are moody investors prone to avoid risk on Monday and accept it on Friday? In his January 2016 paper entitled “Day of the Week and the Cross-Section of Returns”, Justin Birru examines how long-short U.S. stock anomaly...
Early in the first chapter of their 2015 book, Superforecasting: The Art and Science of Prediction, Philip Tetlock and Dan Gardner state: “…forecasting is not a ‘you have it or you don’t’ talent. It is a skill that can...
A subscriber suggested testing of the Guardian Indicator, “a proprietary new market-strength indicator designed to enhance risk-adjusted investment returns by identifying long-term directional changes in the stock market.” This indicator tabulates Guard Score (GS) “votes” by...
Mebane Faber states in the first chapter of his 2016 book Invest with the House: Hacking the Top Hedge Funds: “We make two assumptions…: 1. There are active managers that can beat the market… 2. Superior active managers can be identified. …There...
Who are the givers and who are the takers among mutual funds and hedge funds? In their January 2016 paper entitled “Style and Skill: Hedge Funds, Mutual Funds, and Momentum”, Mark Grinblatt, Gergana Jostova, Lubomir Petrasek and Alexander...
Does seasonality usefully combine with trend following for timing asset markets? In his January 2016 paper entitled “Multi-Asset Seasonality and Trend-Following Strategies”, Nick Baltas examines seasonal patterns (based on same calendar month over the past ten years) for four...
Wesley Gray, Jack Vogel and David Foulke preface their 2015 book, DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth, by stating that: “This book is a synopsis of our research findings developed while serving as a...
Do U.S. stock return anomalies exhibit exploitable momentum? In their December 2016 paper entitled “Scaling Up Market Anomalies”, Doron Avramov, Si Cheng, Amnon Schreiber and Koby Shemer test momentum across stock return anomalies. Their investment universe consists of the long and...
How sensitive is the performance of the “Simple Sector ETF Momentum Strategy” to selecting ranks other than winners and to choosing a momentum ranking interval other than six months? This strategy each month ranks the following nine sector...
Do simple momentum trading strategies applied to major U.S. stock market sectors outperform reasonable benchmarks? To investigate, we apply three simple momentum strategies to the nine sector exchange-traded funds (ETF) defined by the Select Sector...
Is selling market index call options to finance, at least partly, buying crash protection in the form of put options a shrewd tactic? In their December 2016 paper entitled “Risk and Return of Equity Index...
What are the moving parts of an equity index covered call strategy, and what can investors do to enhance its performance? In the October 2015 update of their paper entitled “Covered Calls Uncovered”, Roni Israelov and Lars Nielsen...
Are exchange-traded funds (ETF) efficient from a trading frictions perspective? In the October 2015 version of their paper entitled “ETF Liquidity”, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti examine magnitude of trading frictions, best liquidity metric, time-variation in liquidity...
Do SeekingAlpha and StockTwits offer valuable stock-picking information? In their March 2015 paper entitled “Crowds on Wall Street: Extracting Value from Collaborative Investing Platforms”, Gang Wang, Tianyi Wang, Bolun Wang, Divya Sambasivan, Zengbin Zhang, Haitao Zheng and...
Which measure of past firm profitability is most effective for forming U.S. stock and equity sector portfolios? In their October 2015 paper entitled “Portfolio Allocations Using Fundamental Ratios: Are Profitability Measures Effective in Selecting Firms...
How does performance of short-term technical strategies related to portfolio turnover and volatility? In their December 2015 paper entitled “101 Formulaic Alphas”, Zura Kakushadze, Geoffrey Lauprete and Igor Tulchinsky explore return relationships among 101 real-life short-term quantitative...
What kinds of commodity futures portfolio allocation strategies work? In her December 2015 paper entitled “Long-Short Commodity Investing: A Review of the Literature”, Joelle Miffre summarizes recent academic studies that analyze the performance of long-short...
Does asset allocation based on both trend following via a simple moving average (SMA) and return momentum work well? In the July 2015 update of their paper entitled “The Trend is Our Friend: Risk Parity,...
Does the information in short, intermediate and long stock price trends combined by relating multiple simple moving averages (SMA) to future returns usefully predict stock returns? In the September 2015 update of their paper entitled “A Trend Factor: Any...
Do stock pricing factors predict option returns that are incremental to the factor premiums in underlying stock returns? In the December 2015 version of their paper entitled “Option Return Predictability”, Jie Cao, Bing Han, Qing Tong and Xintong Zhan examine...
Is it possible to test factor models of stock returns directly on individual stocks rather than on portfolios of stocks sorted per preconceived notions of factor importance. In their November 2015 paper entitled “Tests of...
Do stop-losses usefully mitigate downside risk in realistic scenarios? In their November 2015 paper entitled “Stop-Loss Strategies with Serial Correlation, Regime Switching, and Transactions Costs”, Andrew Lo and Alexander Remorov analyze the value of stop-losses when asset returns are autocorrelated (trending),...
Are high-frequency sentiment feeds useful in predicting stock market behavior? In the November 2015 version of their paper entitled “Stock Return Predictability and Investor Sentiment: A High-Frequency Perspective”, Licheng Sun, Mohammad Najand and Jiancheng Shen measure the predictive...