This is a summary of links featured on Quantocracy on Thursday, 12/23/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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January Effect on Stocks [Alvarez Quant Trading]A member of The Crew recently asked me about the January Effect and if had I done any research on it. I had not. I have tested the December effect, which is buying the worst stocks of the year on December 1st, Should You Buy the Best or Worst YTD Stocks. From Investopedia, The January Effect is a perceived seasonal increase in stock prices during the month of January. Analysts generally
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Our Top 5 Geeky Finance Posts for 2021 [Alpha Architect]We are calling it quits for the holidays. Most of us have kids and Santa is coming to town! Well talk about research and educate investors next week. Here are the Top 5 content pieces this year (Based on traffic): Even God would get fired as an Active Investor Does Gamma Hedging Actually Affect Stock Returns? Market Timing Using Aggregate Equity Allocation Signals How to Predict Stock Returns
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Research Review | 23 December 2021 | ETFs [Capital Spectator]Trading Down: The Effects of Active Trading on One-Month ETF Returns Ian Gray (Loyola Marymount University) December 15, 2021 Ark Investment Management (ARK), led by CIO Cathie Wood, has risen to prominence over the past few years because of its remarkable performance. Because of requirements for active ETFs to publish daily holdings, market participants have gained unprecedented access to