This is a summary of links featured on Quantocracy on Monday, 06/12/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Industry classification and the role it plays in momentum strategies [Alpha Architect]Momentum strategies have been popular since the original Jagadeesh and Titman article was published in 1993. Variations on the strategies have employed calculating momentum on an individual and industry basis. For instance, in a 1999 study, Moskowitz and Grinblatt produced a positive and significant excess return from a long/short strategy buying the top three winning industries and selling
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Did COVID ruin Opex week? [Quantifiable Edges]This week is options expiration week. And we have known for a long time that opex is often a bullish week for the market. Interestingly, that seasonal tendency has not seemed to hold true since the COVID crash in 2020. Below is a look at performance of all opex weeks since 1984. Opex week performance has floundered since 2020 There has been a clear shift in the curve over the last few years. The
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Diversification versus Hedging II [Finominal]Ideally diversifying funds are uncorrelated and generate positive returns However, identifying such funds is more challenging than expected Creating a diversified portfolio requires thoughtful fund and asset class selection INTRODUCTION In our last research note (read Diversification versus Hedging), we explored creating a diversification strategy by selecting funds that exhibit negative downside
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How do AI exposures impact future stock returns? [Alpha Architect]In this article we examine the research about how artificial intelligence influences stock returns by analyzing a measurement of firm-level AI exposures called Alness. AI Narrative and Stock Mispricing Arka Bandyopadhyay, Dat Mai, Kuntara Pukthuanthong SSRN, Working Paper A recent version of the paper can be found here Want to read our summaries of academic finance papers? Check out our Academic