Are investors exhausting the potential of stocks? In his May 2014 presentation packages entitled “Has The Stock Market Been ‘Overgrazed’?” and “Momentum Has Not Been ‘Overgrazed'”, Claude Erb investigates the proposition that sanguine research and ever easier...
Does technical analysis boost or depress performance for individual investors? In their February 2014 paper entitled “Technical Analysis and Individual Investors”, Arvid Hoffmann and Hersh Shefrin combine actual trading histories and results of a survey to investigate the...
Does the relative performance of 10-year U.S. Treasuries and 30-year U.S. Treasuries offer a useful risk-on/risk-off regime change signal? In their February 2014 paper entitled “An Intermarket Approach to Tactical Risk Rotation Using the Signaling Power of...
Is is feasible to exploit stock price deviation from a purely statistical estimate of equilibrium? In his February 2014 paper entitled “Back to Black” (the National Association of Active Investment Managers’ 2014 Wagner Award second place winner), Arthur Grabovsky investigates exploitation...
Is there a practical way to mitigating data snooping bias while exploring optimal parameter values? In his February 2014 paper entitled “Know Your System! – Turning Data Mining from Bias to Benefit through System Parameter Permutation” (the National Association of Active Investment...
Research (see “Asset Growth Rate as a Return Indicator” and “Asset Growth a Bad Sign for Stocks Everywhere?”) indicates that stocks of firms with high asset growth rates tend subsequently to underperform the market. Does...
What factors make asset class diversification work? To investigate empirically, we consider the following mix of exchange-traded funds (ETF) as asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB Commodity Index...
In the introduction to his 2014 book entitled Global Value: How to Spot Bubbles, Avoid Market Crashes, and Earn Big Returns in the Stock Market, author Mebane Faber, ponders: “Can we or can’t we predict when a bubble...
How sensitive in a recent sample are outcomes from simple trend following rules to the length of the measurement interval used to detect a trend. To investigate, we consider two simple types of trend following rules...
Can traders extract an edge from sentiments expressed about stocks via public Internet message boards? In the March 2014 draft of their paper entitled “Investor Sentiment from Internet Message Postings and Predictability of Stock Returns”, Soon-Ho Kim and Dongcheol...
Is past performance a useful indicator of future performance for some kinds of mutual funds? In their April 2014 paper entitled “Differences in Short-Term Performance Persistence by Mutual Fund Equity Class”, Larry Detzel and Andrew Detzel evaluate performance...
Do prices exhibit persistently exploitable trends across asset classes all the time? In their April 2014 paper entitled “Two Centuries of Trend Following”, Y. Lemperiere, C. Deremble, P. Seager, M. Potters and J. P. Bouchaud examine risk-adjusted...
Does the reward for taking the risk of holding stocks exhibit any long-term trend? In his April 2014 presentation package entitled “The Incredible Shrinking ‘Realized’ Equity Risk Premium”, Claude Erb examines the trend in the...
Are simple moving averages (SMA) effective in generating signals for short-term currency trading? In the April 2014 draft of his paper entitled “ANANTA: A Systematic Quantitative FX Trading Strategy”, Nicolas Georges investigates the effectiveness of...
Does stock market timing based on simple moving average (SMA) and time-series (intrinsic or absolute) momentum strategies really work? In the November 2013 version of his paper entitled “The Real-Life Performance of Market Timing with...
Do Morningstar’s analyst ratings predict which mutual funds will do best? In their January 2014 paper entitled “Going for Gold: An Analysis of Morningstar Analyst Ratings”, Will Armstrong, Egemen Genc and Marno Verbeek examine the...
Does the utilities sector exhibit a useful lead-lag relationship with the broad stock market? In their January 2014 paper entitled “An Intermarket Approach to Beta Rotation: The Strategy, Signal and Power of Utilities”, Charles Bilello...
Do active investment managers beat the market? In their January 2014 paper entitled “Active Manager Performance: Alpha and Persistence”, Frank Benham and Edmund Walsh assess the performance of active investment managers relative to appropriate benchmarks across asset classes...
Do professional analysts systematically miss target prices for individual stocks? In the November 2013 draft of their paper entitled “Understanding and Predicting Target Price Valuation Errors”, Patricia Dechow and Haifeng You measure the errors in...
How do professional analysts value stocks? In their March 2014 paper entitled “Peering Inside the Analyst ‘Black Box’: How Do Equity Analysts Model Companies?”, Andreas Markou and Simon Taylor examine the private stock valuation models...
How big is the return premium associated with stock illiquidity? In his March 2014 paper entitled “The Pricing of the Illiquidity Factor’s Systematic Risk”, Yakov Amihud specifies and measures an illiquidity premium. He defines illiquidity...
What is the best way to generate price trend signals for trading futures/forward contracts? In their December 2013 paper entitled “CTAs – Which Trend is Your Friend?”, Fabian Dori, Manuel Krieger, Urs Schubiger and Daniel...
How well do long-short stock strategies work, after accounting for all costs? In their February 2014 paper entitled “Assessing the Cost of Accounting-Based Long-Short Trades: Should You Invest a Billion Dollars in an Academic Strategy?”,...
Does the expanding set of exchange-traded funds (ETF) support reliable replication (cloning) of future hedge fund returns? In their March 2014 paper entitled “In Search of Missing Risk Factors: Hedge Fund Return Replication with ETFs”,...
Can the best traders reliably exploit the ex-dividend effect (the tendency for dividend-paying stocks to fall by less than the dividend amount after paying the dividend)? In their March 2014 paper entitled “Ex-Dividend Profitability and...