This is a summary of links featured on Quantocracy on Sunday, 12/11/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Managed Futures and Trend Following – Inside the Black Box [Light Finance]It goes without saying that 2022 has been a difficult year across markets. Investors have had to contend with an inflationary bear market for which the traditional playbook has proven woefully inadequate. NASDAQ and high yield debt, the darlings of yesteryear, have fallen from grace with few exceptions. Treasuries, the most common hedge against stock volatility, have suffered their worst drawdown
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The Size Effect: Does it vary in accordance with monetary policy? [Alpha Architect]The size effect was first documented by Rolf Banz in his 1981 paper The Relationship Between Return and Market Value of Common Stocks, which was published in the Journal of Financial Economics. After the 1992 publication of Eugene Fama and Kenneth Frenchs paper The Cross-Section of Expected Stock Returns, the size effect was incorporated into what became finances new workhorse
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Research Review | 9 Dec 2022 | Valuation Analysis [Capital Spectator]Preference for dividends and stock returns around the world Allaudeen Hameed (National University of Singapore), et al. November 2022 We find strong international evidence favoring dividend payout as a salient stock characteristic affecting expected stock returns. We find that dividend-paying stocks outperform non-payers by 0.54% per month in 44 countries, adjusting for exposures to global and