How big is the stock liquidity premium and does it subsume other variables widely used to estimate future returns? In their December 2014 paper entitled “A Comparative Analysis of Liquidity Measures”, Yuping Huang and Vasilios...
Do changes in consensus analyst earnings forecasts that disagree with contemporaneous stock returns signal exploitable mispricings? In their November 2014 paper entitled “To Follow or Not to Follow – An Analysis of the Profitability of Portfolio Strategies...
Is equal weighting (1/n) of portfolio components a good choice? In their November 2014 paper entitled “Is 1/n Really Better Than Optimal Mean-Variance Portfolio?”, Woo Chang Kim, Yongjae Lee and William Ziemba assess 1/n weighting by comparing its...
Does a need to attract attention distort the information offered by online stock bloggers? Does competition among them suppress or amplify this distortion? In their November 2014 paper entitled “Guru Dreams and Competition: An Anatomy of the Economics of...
Do predictable monthly outflows from and inflows to mutual funds drive the Turn-of-the-Month (TOTM) effect, a concentration of positive stock market returns around the turns of calendar months? In their November 2014 paper entitled “Dash...
Referring to “Leading Economic Index and the Stock Market”, a subscriber inquired about using the Conference Board’s Leading Economic Index (LEI) for the U.S. to generate long-term U.S. stock market timing signals, as follows: “How about...
How do the major components of U.S. stock market performance behave over time? In his October 2014 paper entitled “Long-Term Sources of Investment Returns and a Simple Way to Enhance Equity Returns”, Baijnath Ramraika decomposes long-term returns...
How diverse are the beliefs of experts on the Capital Asset Pricing Model (CAPM)? In his November paper entitled “CAPM: The Model and 233 Comments about It”, Pablo Fernandez reproduces 52 largely disagreeing and 181 largely agreeing...
Is the difference between upside and downside asset participation ratios relative to a benchmark a useful metric for evaluating asset investment performance? In his June 2014 paper entitled “On the Holy Grail of ‘Upside Participation and...
How can investors protect portfolios from crashes across asset classes? In the November 2014 version of his paper entitled “Tail Risk Protection in Asset Management”, Cristian Homescu describes tail (crash) risk metrics and summarizes the body...
Is equity factor investing a straightforward path to premium capture and diversification? In their October 2014 paper entitled “Facts and Fantasies About Factor Investing”, Zelia Cazalet and Thierry Roncalli summarize the body of research on factor investing and...
Is Piotroski’s FSCORE really as effective at picking stocks as indicated in the original study, which screens stocks with high book-to-market ratios to isolate those that will eventually provide high returns? In their April 2014 paper entitled “Implementability of Trading...
Do predictive powers of the size, value and momentum factors observed for individual stocks translate to the country level? In the November 2014 version of his paper entitled “Country Selection Strategies Based on Value, Size and Momentum”, Adam Zaremba...
Are publicly traded Master Limited Partnerships attractive investments? In their June 2014 paper entitled “Master Limited Partnerships (MLPs)”, Frank Benham, Steven Hartt, Chris Tehranian and Edmund Walsh describe and summarize the aggregate performance and characteristics...
Does quantitative technical analysis work reliably in currency trading? If so, where does it work best? In their May 2013 paper entitled “Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-Scale, Data-Snooping Robust Analysis...
In which country stock markets is technical analysis likely to work best? In the October 2014 version of her paper entitled “Technical Analysis: A Cross-Country Analysis”, Jiali Fang investigates three potential cross-country determinants of technical trading profitability: An individualism...
Do factor models predict returns for corporate bonds as they do for stocks? In their October 2014 paper entitled “Factor Investing in the Corporate Bond Market”, Patrick Houweling and Jeroen van Zundert develop and test a four-factor (size, low-risk,...
Is the Commodity Trading Advisor (CTA) segment so crowded that flows of funds into or out of them around the turn of the month materially affect prices? In the October 2014 version of his paper...
Is there a way to predict when stock price momentum strategies will thrive or crash? In the October 2014 update of their draft paper entitled “Time-Varying Momentum Payoffs and Illiquidity”, Doron Avramov, Si Cheng and Allaudeen...
What conditions foretell stock momentum strategy crashes? In their October 2014 paper entitled “Momentum Trading, Return Chasing, and Predictable Crashes”, Benjamin Chabot, Eric Ghysels and Ravi Jagannathan examine stock momentum strategy performance for both widely used historical U.S. data...
Do expected investment returns as predicted by experts in surveys reliably predict actual future returns? In the October 2014 version of their preliminary paper entitled “Survey Expectations of Returns and Asset Pricing Puzzles”, Ralph Koijen, Maik Schmeling and Evert...
Are gains from tax-loss harvesting, the systematic taking of capital losses to offset capital gains, additive to or subtractive from premiums from portfolio tilts toward common factors such as value, size, momentum and volatility (smart beta)?...
Which is the better equity investment strategy: (1) a consistent portfolio tilt toward one or a few factors widely accepted, based on linear regression backtests, as effective in selecting stocks with above-average performance (smart beta); or, (2) a...
Is the market beta of a stock stable across measurement frequencies and measurement intervals? In their October 2014 paper entitled “Which Is the Right ‘Market Beta’?: 1,385 US Companies and 147 Betas/Company in a Single Date”, Jose Paulo...
How should researchers address the issue of aggregate/cumulative data snooping bias, which derives from many researchers exploring approximately the same data over time? In the October 2014 version of their paper entitled “. . ....