This is a summary of links featured on Quantocracy on Monday, 03/11/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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The HAA strategy revisited [NLX Finance]In February 2023, peer Wouter Keller and JW Keuning published a study of an interesting strategy, Dual and Canary Momentum with Rising Yields/Inflation: Hybrid Asset Allocation (HAA), which uses the Treasury Inflation-Protected Securities (TIPS) markets to decide when a strategy should be invested offensively or defensively. More recently, the Allocate Smartly website also presented the results of
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Value vs Quality: More Correlated than Ever? [Finominal]P/E and ROE factors were highly correlated in recent years However, this is counterintuitive as cheap stocks should not be highly profitable We can explain this perplexity with stocks with negative earnings INTRODUCTION In our recent article Value vs Quality: More Correlated than Ever? we highlighted that the correlations of the long-short P/E and return-on-equity (ROE) factors have changed
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Betting on a Short Squeeze as Investment Strategy [Alpha Architect]Academic research, including the studies Do Investors Overpay for Stocks with Lottery-like Payoffs? An Examination of the Returns on OTC Stocks, Lottery Preference and Anomalies and Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households, has found that there are investors who have a taste, or preference, for lottery-like investments those that
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Research Review | 8 March 2024 | Combination Model Forecasting [Capital Spectator]Market Risk Premium Expectation: Combining Option Theory with Traditional Predictors Hong Liu (Washington University in St. Louis), et al. December 2022 In general, the slackness between the Martin lower bound (solely based on option prices) and the market risk premium depends on economic state variables. Empirically, we find that combining information from option prices and economic state