This is a summary of links featured on Quantocracy on Tuesday, 01/05/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Daily Academic Alpha: Value and Momentum in Vietnam [Alpha Architect]An interesting out of sample test on return drivers in the Vietnamese market from 2006 to 2014. Not surprisingly, value and momentum show some mojo – Liquidity as wellsize, not so much. But size only matters if you control your junk, apparently. This is in line with our own research and the research of many others: Value: Never buy expensive stocks. Momentum: Ride Winners and Cut Losers. Size:
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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 Lambert and Hubner (2013), over which we improve the sorting procedure. This new specification
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[Academic Paper] Positive Skewness, Anti-leverage, Reverse Volatility Asymmetry, Short Sale Constraints: Chinese Markets [@Quantivity]There are some statistical anomalies in the Chinese stock market, i.e., positive return skewness, anti-leverage effect (positive returns induce higher volatility than negative returns); and reverse volatility asymmetry (contemporaneous return-volatility correlation is positive). In this paper, we first confirm the existence of these anomalies using daily firm-level stock return data on the raw