Doing Momentum with Style (ETFs) Robustness/Sensitivity Tests [PREMIUM]
How sensitive is the performance of “Doing Momentum with Style (ETFs)” to selecting ranks other than winners and to choosing a momentum ranking interval other than six months? This strategy each month ranks the following six style exchan...
Doing Momentum with Style (ETFs) [PREMIUM]
“Beat the Market with Hot-Anomaly Switching?” concludes that “a trader who periodically switches to the hottest known anomaly based on a rolling window of past performance may be able to beat the market. Anomalies appear to have their...
Interaction of Momentum/Reversal with Size and Value [PREMIUM]
Do market capitalization (size) and book-to-market ratio systematically affect intermediate-term momentum and long-term reversal for individual stocks? In their February 2012 paper entitled “Momentum and Reversal: Does What Goes Up Always Come D...
Testing U.S. Equity Anomalies Worldwide [PREMIUM]
Do widely acknowledged U.S. equity market anomalies exist in other stock markets? If so, why? In his November 2011 paper entitled “Equity Anomalies Around the World” [apparently removed from SSRN], Steve Fan investigates whether a number o...
Turn of the Year and Size in U.S. Equities
The turn of the year (December-January) for the U.S. stock market reportedly includes the Santa Claus rally and the January effect. Some research indicates the latter is dead (and was driven essentially by small-capitalization stocks when alive). How...
Buyback Size Effect? [PREMIUM]
Do companies reliably repurchase their stocks at bargain prices, thus providing signals for investors to tag along? In the January 2012 update of their paper entitled “Do Firms Buy Their Stock at Bargain Prices? Evidence from Actual Stock Repurch...
Style Performance by Calendar Month
The Trading Calendar presents full-year and monthly cumulative performance profiles for the overall stock market (S&P 500 Index) based on its average daily behavior since 1950. How much do the corresponding monthly behaviors of the various size and...
When and Why of the Size Effect [PREMIUM]
Does the size effect vary in an usefully predictable way? In the October 2011 revision of his paper entitled “Predicting the Small Stock Premium Over Different Horizons: What Do We Learn About Its Source?”, Valeriy Zakamuline examines whe...
Harvesting Equity Market Premiums [PREMIUM]
Should investors strategically diversify across widely known equity market anomalies? In the October 2011 version of his paper entitled “Strategic Allocation to Premiums in the Equity Market”, David Blitz investigates whether investors shou...
Statistically Recasting the Big Three Anomalies [PREMIUM]
Do the size effect, value premium and momentum effect derive from common firm/stock characteristics other than size, book-to-market ratio and past return? In the October 2011 version of their paper entitled “Which Firms Are Responsible for Charac...
Size Effect and the Economy [PREMIUM]
Does the size effect vary with the state of the economy? In his October 2010 paper entitled “The Behaviour of Small Cap vs. Large Cap Stocks in Recessions and Recoveries: Empirical Evidence for the United States and Canada”, Lorne Switzer
Best Style by Investment Horizon [PREMIUM]
Should investors with different horizons prefer different styles (large versus small capitalization and value versus growth)? In their 2010 paper entitled “Time, Risk and Investment Styles”, Zugang Liu and Jia Wang investigate how equity i...
