Does a Weak Dollar Favor Large Capitalization Stocks? [PREMIUM]
When the dollar weakens, large capitalization U.S. firms may benefit from their international footprints, generating substantial revenues around the globe in local currencies and converting those revenues into an increased number of dollars on their in...
Creative Destruction Risk Premium [PREMIUM]
Are some firms more at risk of creative destruction by new technologies? If so, does the market offer a premium to investors in such firms? In his March 2011 paper entitled “Creative Destruction and Asset Prices”, Joachim Grammig explores t...
Value Premium as Risk Compensation [PREMIUM]
Are value stocks priced low because the companies are in financial distress? In their May 2011 paper entitled “Is the Value Premium Really a Compensation for Distress Risk?”, Wilma de Groot and Joop Huij investigate the relationships betwee...
Predicting Variation in the Size Effect [PREMIUM]
Does the size effect vary in a predictable way? In the May 2011 version of his paper entitled “Explaining the Dynamics of the Size Premium”, Valeriy Zakamulin investigates relationships between eight market/economic variables and the size e...
Equity Investing Based on Liquidity [PREMIUM]
...evidence suggests that investors may be able to boost returns by incorporating a liquidity style into stock selection.
Individual Stocks Versus Portfolios [PREMIUM]
Can portfolios exhibit properties not evident from, or even contrary to, average properties of their component assets? In the April 2011 draft of their paper entitled “The Sources of Portfolio Returns: Underlying Stock Returns and the Excess Grow...
Measuring the Size Effect with Capitalization-based ETFs
Do popular capitalization-based exchange-traded funds (ETF) confirm the existence of a reliably exploitable size effect? To investigate, we compare the difference in equally weighted returns (small minus large) for the following matched pair of small-l...
Exploiting the Presidential Cycle and Party in Power [PREMIUM]
Are there reliable ways to exploit differences in asset class returns under Democratic and Republican U.S. presidents? In his April 2011 paper entitled “Is the 60-40 Stock-Bond Pension Fund Rule Wise?”, William Ziemba examines relationships...
Robustness Tests for Ten Popular Stock Return Anomalies [PREMIUM]
In their March 2011 paper entitled “The Shrinking Space for Anomalies”, George Jiang and Andrew Zhang investigate the robustness of ten well-known anomalies by iteratively “shrinking the stock space” in two ways to determine whether and how the anomalies really work. The ten anomaly variables are: size, book-to-market ratio, momentum, two liquidity measures, idiosyncratic volatility,...
Bottom-up Anomalies vs. Top-down Portfolio Efficiency [PREMIUM]
How do widely recognized stock return anomalies (return variations unexplained by asset pricing models) mesh with efficient portfolio selection theory? In their paper entitled “Investing in Stock Market Anomalies”, Turan Bali, Stephen Brown...
Firm Fundamentals and Future Stock Returns [PREMIUM]
Which firm fundamentals predict associated stocks returns, and which ones do not? In their February 2011 paper entitled “Returns Premia on Company Fundamentals”, Kateryna Shapovalova, Alexander Subbotin and Thierry Chauveau assess the signi...
Overview of Value Premium and Size Effect Research
How and why do the value premium and size effect work? In their February 2011 paper entitled “Value and Size Puzzles: A Commented Survey”, Kateryna Shapovalova and Alexander Subbotin review and assess prior research on the value premium and...
