Quant Mashup - Quantpedia
A Closer Look At Ben Graham’s "Net Current Asset Value" (NCAV) Rule [Quantpedia]
Following Ben Graham’s “net current asset value” (NCAV) rule for stock selection (“net net” strategy), we provide evidence that buying stocks in companies with per share NCAV greater than the current share price produced superior risk-adjusted returns over the 1975- 2010 period. The risk
- 8 years ago, 9 Mar 2016, 01:38pm -
Do the Size, Value, and Momentum Factors Exist in Emerging Markets? [Quantpedia]
This paper investigates the size, value and momentum effects in 18 emerging stock markets during the period 1990−2013.We find that size and momentum strategies generally fail to generate superior returns in emerging markets. The value effect exists in all markets except Brazil, and it is robust to
- 8 years ago, 2 Mar 2016, 11:25am -
Sell in May and Go Away in the Equity Index Futures Markets [Quantpedia]
The period May 1 to the turn of the month of November (last five trading days October) has historically produced negligible returns. The rest of the year (late October to the end of April) has essentially all the year's gains. In this paper we show that there is a statistically significant
- 8 years ago, 25 Feb 2016, 12:03pm -
An Interesting Cross-Asset Class Analysis of Risk Premiums [Quantpedia]
The existence of risk premia has been widely documented in the academic literature over the past decades. Until now they have typically been handled as separate phenomena for specific markets or asset classes and thus examined independently. This study analyses risk premia across a variety of asset
- 8 years ago, 19 Feb 2016, 12:42pm -
An Examination of The Turn-of-the-Month-Effect [Quantpedia]
The current study examines the turn of the month effect on stock returns in 20 countries. This will allow us to explore whether the seasonal patterns usually found in global data; America, Australia, Europe and Asia. Ordinary Least Squares (OLS) is problematic as it leads to unreliable estimations;
- 8 years ago, 12 Feb 2016, 10:42am -
Replicating Private Equity [Quantpedia]
Private equity funds tend to select relatively small firms with low EBITDA multiples. Publicly traded equities with these characteristics have high risk-adjusted returns after controlling for common factors typically associated with value stocks. Hold-to-maturity accounting of portfolio net asset
- 8 years ago, 5 Feb 2016, 10:32pm -
FX Liquidity Risk and Carry Trade Returns [Quantpedia]
We study the effects of FX liquidity risk on carry trade returns using a low-frequency market-wide liquidity measure. We show that a liquidity-based ranking of currency pairs can be used to construct a mimicking liquidity risk factor, which helps in explaining the variation of carry trade returns
- 8 years ago, 29 Jan 2016, 12:21am -
The Betting Against Beta Anomaly: Fact or Fiction? [Quantpedia]
This paper suggests an alternative explanation for the recently documented betting against beta anomaly. Given that the equity of a levered firm is equivalent to a call option on firm assets and option returns are non-linearly related to underlying stock returns, linear CAPM-type regressions are
- 8 years ago, 20 Jan 2016, 12:21pm -
A Multiples-Based Decomposition of the Value Premium [Quantpedia]
We use industry multiples-based market-to-book decomposition of Rhodes-Kropf, Robinson and Viswanathan (2005) to study the value premium. The market-to-value component drives all of the value strategy return, while the value-to-book component exhibits no return predictability in both portfolio sorts
- 8 years ago, 14 Jan 2016, 10:40am -
Are Size and Book-Value Factors Really Significant? [Quantpedia]
The Fama and French (F&F) factors do not reliably estimate the size and book-to-market effects. Our paper shows that the former has been underestimated in the US market while the latter overestimated. We do so by replacing F&F's independent rankings by the conditional ones introduced by
- 8 years ago, 5 Jan 2016, 09:58pm -
Upside and Downside Risks in Momentum Returns [Quantpedia]
I provide a novel risk-based explanation for the profitability of momentum strategies. I show that the past winners and the past losers are differently exposed to the upside and downside market risks. Winners systematically have higher relative downside market betas and lower relative upside market
- 8 years ago, 29 Dec 2015, 10:30pm -
Time-Series vs. Cross-Sectional Implementation of Momentum, Value and Carry Strategies [Quantpedia]
We contrast the time-series and cross-sectional performance of three popular investment strategies: carry, momentum and value. While considerable research has examined the performance of these strategies in either a directional or cross-asset settings, we offer some insights on the market conditions
- 8 years ago, 17 Dec 2015, 07:41am -
An Analysis of Expected Returns of Trend-Following Strategies [Quantpedia]
This paper describes how to create ex-ante expectation for generalized trend-following rules. This report first study the effect of trend-following rules applied to random data with varying degrees of drift and autocorrelation. There is a positive relationship between drift, autocorrelation and the
- 8 years ago, 11 Dec 2015, 08:00am -
Is Momentum Effect Result of Over- of Under-reaction? [Quantpedia]
Several studies have attributed the high excess returns of the momentum strategy in the equity market to investor behavioral biases. However, whether momentum effects occur because of investor underreaction or because of investor overreaction remains a question. Using a simple model to illustrate
- 8 years ago, 26 Nov 2015, 03:32pm -
Time-Varying Conditional Market Exposures of the Value Premium [Quantpedia]
Value strategies exhibit a large positive beta if contemporaneous market excess returns are positive, and a small beta if contemporaneous market excess returns are negative. Value also has a large positive beta after bear markets, but a small beta after bull markets. These facts hold for
- 8 years ago, 19 Nov 2015, 11:14am -
Deconstructing the Time-Series Momentum Strategy [Quantpedia]
Moskowitz, Ooi, and Pedersen (2012) show that time series momentum delivers a large and significant alpha for a diversified portfolio of various international futures contracts over the 1985 to 2009 period. Although we confirm these results with similar data, we find that their results are driven by
- 8 years ago, 11 Nov 2015, 10:58am -
Deconstructing the Low-Volatility Anomaly [Quantpedia]
We study several aspects of the so-called low-vol and low-beta anomalies, some already documented (such as the universality of the effect over different geographical zones), others hitherto not clearly discussed in the literature. Our most significant message is that the low-vol anomaly is the
- 8 years ago, 5 Nov 2015, 02:44pm -
Influence of Correlations on Time-Series Momentum Strategies [Quantpedia]
Trend-following strategies take long positions in assets with positive past returns and short positions in assets with negative past returns. They are typically constructed using futures contracts across all asset classes, with weights that are inversely proportional to volatility, and have
- 8 years ago, 28 Oct 2015, 01:48pm -
Optimization of Equity Momentum [Quantpedia]
Standard mean-variance optimized momentum outperforms the traditional equally weighted momentum strategy if the expected return vector used reflects momentum's top and bottom only characteristic. This top and bottom only characteristic is the phenomenon that only the stocks in the top decile of
- 8 years ago, 7 Oct 2015, 09:56pm -
How general market conditions affect industry/sector momentum [Quantpedia]
This paper focuses on momentum strategies based on recent and intermediate past returns of U.S. industry portfolios. Our empirical analysis shows that strategies based on intermediate past returns yield higher mean returns. Moreover, strategies involving both return specifications exhibit
- 8 years ago, 1 Oct 2015, 01:09pm -
New academic paper analyses #38 - Accrual Anomaly [Quantpedia]
#38 - Accrual Anomaly Authors: Patatoukas Title: Asymmetrically Timely Loss Recognition and the Accrual Anomaly Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2653979 Abstract: Conditionally conservative accounting practices mandate the more timely recognition of losses relative to gains
- 8 years ago, 22 Sep 2015, 11:36am -
Order Flow explains FX Carry Trade Strategies [Quantpedia]
Authors: Breedon, Rime, Vitale Title: Carry Trades, Order Flow and the Forward Bias Puzzle Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2643531 Abstract: We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward
- 8 years ago, 15 Sep 2015, 07:38pm -
A way to an improved Size and Value Factors [Quantpedia]
Authors: Lambert, Fays, Hubner Title: Size and Value Matter, But Not the Way You Thought Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2647298 Abstract: Fama and French factors do not reliably estimate the size and book-to-market effects. We demonstrate inconsistent pricing of those
- 8 years ago, 8 Sep 2015, 09:01pm -
Are Size and Momentum economically significant in international stock markets [Quantpedia]
#14 - Momentum Effect in Stocks #25 - Small Capitalization Stocks Premium Anomaly Authors: Schmidt, Von Arx, Schrimpf, Wagner, Ziegler Title: Size and Momentum Profitability in International Stock Markets Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2642185 Abstract: We study the link
- 8 years ago, 3 Sep 2015, 10:00pm -
Academic Paper Analyses - Federal Open Market Committee Meeting Effect on Stocks [Quantpedia]
Authors: Nilsson Title: The Pre-FOMC Drift Explored Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2640477 Abstract: The pre-FOMC drift was first published in 2011 and is a strong driver of equity market performance over the last 30 years. The effect is able to explain approximately half
- 8 years ago, 27 Aug 2015, 05:42am -
New academic paper related to #12 - Pairs Trading with Stocks [Quantpedia]
We assume that the drift in the returns of asset prices consists of an idiosyncratic component and a common component given by a co-integration factor. We analyze the optimal investment strategy for an agent who maximizes expected utility of wealth by dynamically trading in these assets. The optimal
- 8 years ago, 19 Aug 2015, 10:17am -
When do equity anomalies have the highest return? During earnings announcements... [Quantpedia]
Authors: Engelberg, McLean, Pontiff Title: Anomalies and News Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2631228 Abstract: Using a sample of 97 stock return anomalies documented in published studies, we find that anomaly returns are 7 times higher on earnings announcement days and 2
- 8 years ago, 11 Aug 2015, 11:33am -
New research paper shows how to easily improve #5 - FX Carry Trade [Quantpedia]
Recent research has confirmed the behaviour of traders that significant excess returns can be achieved from following the predictions of the carry trade which involves buying currencies with relatively high short-term interest rates, or equivalently a high forward premium, and selling those with
- 8 years ago, 6 Aug 2015, 07:13am -
Sports Betting used to explain Value and Momentum Effects [Quantpedia]
I use sports betting markets as a laboratory to test behavioral theories of cross-sectional asset pricing anomalies. Two unique features of these markets provide a distinguishing test of behavioral theories: 1) the bets are completely idiosyncratic and therefore not confounded by rational theories;
- 8 years ago, 28 Jul 2015, 09:38am -
Fractal mathematics used to explain #14 - Momentum Effect in stocks [Quantpedia]
Mandelbrot has significantly contributed in many ways to the area of finance. He was one of the first who criticized the oversimplifications centered around the early stochastic process models of Bachelier utilizing normal distribution. In his view, markets were fractal and much wilder than
- 8 years ago, 22 Jul 2015, 11:11pm -
Interesting research paper sheds light on multiple anomalies [Quantpedia]
#14 - Momentum Effect in Stocks #25 - Small Capitalization Stocks Premium Anomaly #26 - Value (Book-to-Market) Anomaly #38 - Accrual Anomaly #52 - Asset Growth Effect Authors: Fan, Opsal, Yu Title: Equity Anomalies and Idiosyncratic Risk Around the World Link:
- 8 years ago, 16 Jul 2015, 09:58am -
New academic paper related to #12 - Pairs Trading with Stocks [Quantpedia]
We analyse statistical arbitrage with pairs trading assuming that the spread of two assets follows a mean-reverting Ornstein-Uhlenbeck process around a long-term equilibrium level. Within this framework, we prove the existence of statistical arbitrage and derive optimality conditions for trading the
- 8 years ago, 9 Jul 2015, 11:52am -
Practical academic paper related to #100 - Trading WTI/BRENT Spread [Quantpedia]
#100 - Trading WTI/BRENT Spread Authors: Donninger Title: The Poverty of Academic Finance Research: Spread Trading Strategies in the Crude Oil Futures Market Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2617585 Abstract: Harvey, Liu and Zhu argue that probably most of the Cross-Section
- 8 years ago, 6 Jul 2015, 06:31am -
New related paper to #118 - Time Series Momentum Effect [Quantpedia]
#118 - Time Series Momentum Effect Authors: Georgopoulou, Wang Title: The Trend is Your Friend: Time-Series Momentum Strategies Across Equity and Commodity Markets Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2618243 Abstract: Using a dataset of 67 equity and commodity indices from 1969
- 8 years ago, 29 Jun 2015, 12:44pm -
New related paper to #8 - FX Momentum [Quantpedia]
Authors: Grobis, Heinonen Title: Is Momentum in Currency Markets Driven by Global Economic Risk? Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2619146 Abstract: This article documents a robust link between the returns of the momentum anomaly implemented in currency markets and global
- 8 years ago, 24 Jun 2015, 12:46pm -
One more practical research paper related to #20 - Volatility Risk Premium Effect [Quantpedia]
#20 - Volatility Risk Premium Effect Authors: Donninger Title: Hedging Adaptive Put Writing with VIX Futures : The Affenpinscher Strategy Link: http://www.godotfinance.com/pdf/AffenPinscherStrategy_Rev1.pdf Abstract: In a previous working paper I analyzed the Austrian and Doberman Pinscher strategy.
- 8 years ago, 18 Jun 2015, 05:54pm -
Two practical related papers to #198 - Exploiting Term Structure of VIX Futures [Quantpedia]
#198 - Exploiting Term Structure of VIX Futures Authors: Donninger Title: Selling Volatility Insurance: The Sidre- and Most-Strategy Link: http://www.godotfinance.com/pdf/VIXFuturesTrading_Rev1.pdf Abstract: This working-paper examines and improves a VIX-Futures calendar-spread strategy proposed in
- 8 years ago, 15 Jun 2015, 05:39am -
New related paper to #21 - Momentum Effect in Commodities and #22 - Term Structure Effect in Commodities [Quantpedia]
#21 - Momentum Effect in Commodities #22 - Term Structure Effect in Commodities Authors: Benham, Walsh, Obregon Title: Evaluating Commodity Exposure Opportunities Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2602885 Abstract: Commodities as an asset class have been in growing demand over
- 8 years ago, 10 Jun 2015, 01:07pm -
New related paper to #20 - Volatility Risk Premium Effect [Quantpedia]
#20 - Volatility Risk Premium Effect Authors: Li, Wang Title: Option-Implied Downside Risk Premiums Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2603857 Abstract: This article examines downside risk premiums using S&P 500 index (SPX) options. Portfolios are constructed using the
- 8 years ago, 5 Jun 2015, 12:37pm -
Additional interesting paper related to several momentum strategies [Quantpedia]
#8 - FX Momentum #14 - Momentum Effect in Stocks #21 - Momentum Effect in Commodities #118 - Time Series Momentum Effect Authors: Goyal, Jagadeesh Title: Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? Link:
- 8 years ago, 2 Jun 2015, 05:59am -
Amazing paper related to several momentum strategies [Quantpedia]
#2 - Asset Class Momentum - Rotational System #3 - Sector Momentum - Rotational System #8 - FX Momentum #14 - Momentum Effect in Stocks #15 - Momentum Effect in Country Equity Indexes Authors: Geczy, Samonov Title: 215 Years of Global Multi-Asset Momentum: 1800-2014 (Equities, Sectors, Currencies,
- 8 years ago, 28 May 2015, 07:27am -
New related paper to #6 & #7 - Volatility Effect in Stocks and #20 - Volatility Risk Premium Effect [Quantpedia]
#6 - Volatility Effect in Stocks - Long-Short Version #7 - Volatility Effect in Stocks - Long-Only Version #20 - Volatility Risk Premium Effect Authors: Ilmanen Title: Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets? Link:
- 8 years ago, 26 May 2015, 01:07pm -
New related paper to #237 - Dispersion Trading [Quantpedia]
#237 - Dispersion Trading Authors: Deng Title: Volatility Dispersion Trading Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1156620 Abstract: This papers studies an options trading strategy known as dispersion strategy to investigate the apparent risk premium for bearing correlation risk
- 8 years ago, 21 May 2015, 05:51pm -
New related paper to #5 - FX Carry Trade [Quantpedia]
The paper gives evidence of a novel pricing factor for the cross-section of carry trade returns based on trade relations between countries. In particular, we apply network theory on countries' bilateral trade to construct a measure for countries' exposure to a global trade risk. A higher
- 8 years ago, 15 May 2015, 01:52pm -
New related paper to #3 - Sector Momentum - Rotational System [Quantpedia]
#3 - Sector Momentum - Rotational System Authors: Du Plessis, Hallerbach Title: Volatility Weighting Applied to Momentum Strategies Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2599635 Abstract: We consider two forms of volatility weighting (own volatility and underlying volatility)
- 8 years ago, 11 May 2015, 02:49pm -
New related paper to #12 - Pairs Trading with Stocks [Quantpedia]
This paper tests the Pairs Trading strategy as proposed by Gatev, Goetzmann and Rouwenhorts (2006). It investigates if the profitability of pairs opening after an above average volume day in one of the assets are distinct in returns characteristics and if the introduction of a limit on the days the
- 8 years ago, 5 May 2015, 06:10pm -
New related paper to #20 - Volatility Risk Premium Effect [Quantpedia]
#20 - Volatility Risk Premium Effect Authors: Israelov, Nielsen Title: Still Not Cheap: Portfolio Protection in Calm Markets Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2579232 Abstract: Recent equity volatility is near all-time lows. Option prices are also low. Many analysts suggest
- 8 years ago, 30 Apr 2015, 02:27pm -
New related paper to #21 - Momentum Effect in Commodities and #22 - Term Structure Effect in Commodities [Quantpedia]
#21 - Momentum Effect in Commodities #22 - Term Structure Effect in Commodities Authors: Bakshi, Bakshi, Rossi Title: Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2589057 Abstract: We show that a model
- 8 years ago, 27 Apr 2015, 01:58pm -
Quantpedia's Master lists - Historical Data and Backtesting Software [Quantpedia]
Dear visitors, We have launched a new subpage on Quantpedia.com which will contain master lists of tools for quantitative traders. We have started with a comprehensive lists of backtesting software and historical data sources: http://quantpedia.com/Links/Backtesters
- 9 years ago, 20 Apr 2015, 09:50am -
New related paper to #5 - FX Carry Trade [Quantpedia]
Investors based in different countries earn different returns on same strategies because the same risks covary differently with countries' stochastic discount factors (SDFs). We document that investors in low-interest-rate countries earn more than those in high-interest-rate countries on
- 9 years ago, 17 Apr 2015, 10:06pm -