This is a summary of links featured on Quantocracy on Tuesday, 07/28/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Momentum Crashes [Quants Portal]Seminal work by Jegadeesh and Titman (1993) found that past winners outperform past losers over a horizon of 3-12 months. Investors thus take a long position on winner stocks and a short position on loser stocks in order to realise anomalous profits. This strategy is widely adopted and appears to be timeless in terms periodically not functioning but never completely disappearing. This p
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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; 2) the contracts have a known and short termination date where uncertainty is resolved th
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Liquidity Premium Diminishing [Larry Swedroe]Liquidity can be described as the ability to trade a large number of investments quickly, at low costs and when you want to. Because it is a priced risk, liquidity and its associated price effects are an important aspect of financial markets. In illiquid markets, such as the private equity market, discounts are large and pervasive. Publicly traded equity, howev
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[Academic Paper] Risk Premia in Option Markets [@Quantivity]Risk Premia in Option Markets