This is a summary of links featured on Quantocracy on Monday, 02/12/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Should You Dollar-Cost Average? [Flirting with Models]Dollar-cost averaging (DCA) versus lump sum investing (LSI) is often a difficult decision fraught with emotion. The historical and theoretical evidence contradicts the notion that DCA leads to better results from a return perspective, and only some measures of risk point to benefits in DCA. Rather than holding cash while implementing DCA, employing a risk managed strategy can lead to better DCA
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Value Factor – Intra vs Cross-Sector [Factor Research]Intra versus cross-sector Value portfolios share the major trends Neutralising the sector exposure increases the risk-return ratio of the Value factor However, the benefits are marginal and come with higher operational complexity INTRODUCTION 2018 started almost identical to 2017 in terms of factor performance in the US Momentum, Growth and Quality gained while Value lost. Investors with a
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What SPY s Gap Up, Reverse Down & Rebound Back Up From Friday Suggest For This Week [Quantifiable Edges]The sizable gap up, pullback, and then move back higher on Friday triggered an old Quantifinder study for the 1st time in a long time. Below is the full list of trades with a 5-day holding period. 2018-02-11 All 8 instances saw run-ups of at least 1%, and they all closed positive. While instances are low, the initial inclination appears quite bullish. This study may be worth some consideration
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Short Sellers Profitably Trade Prior to Credit Rating Agency Announcements [Alpha Architect]What are the research questions? This research focuses on the relationship between the frequency of unexpected short selling behavior and abnormal returns surrounding credit watch and rating change announcements in the equity market. It is notable that it employs a unique database that affords the authors the opportunity to study the behavior of unexpected short selling around credit rating agency
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Low Risk Anomaly in Banking Industry and Its Implications [Quantpedia]Traditional capital structure theory in frictionless and efficient markets predicts that reducing banks leverage reduces the risk and cost of equity but does not change the overall weighted average cost of capital (and thus the rates for borrowers). We test these two predictions. We confirm that the equity of better-capitalized banks has lower beta and idiosyncratic risk. However, over the last