Value Premium Concentration in January [PREMIUM]
Is the value premium seasonal? In their 2012 paper entitled “Is the Value Effect Seasonal? Evidence from Global Equity Markets”, Praveen Kumar Das and Uma Rao investigate the intersection of the January effect and the value premium in stoc...
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...
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...
A Few Notes on What Works on Wall Street
James O’Shaughnessy (Chairman and CEO of O’Shaughnessy Asset Management) introduces his 2011 book, What Works on Wall Street (Fourth Edition): the Classic Guide to the Best-Performing Investment Strategies of All Time, by stating: “...
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...
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...
Equity Investing Based on Liquidity [PREMIUM]
...evidence suggests that investors may be able to boost returns by incorporating a liquidity style into stock selection.
