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.
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 Value Premium with Style ETFs
Do popular style-based exchange-traded funds (ETF) confirm the existence of a reliably exploitable value premium? To investigate, we compare the difference in returns (value minus growth) for each of the following three matched pairs of value-growth ET...
Interactions of Momentum, Valuation and Idiosyncratic Volatility [PREMIUM]
For what kind of stocks does momentum work best? In his March 2011 paper entitled “Growth Options, Idiosyncratic Volatility and Momentum”, Umut Celiker investigates the interactions among valuation (market to-book ratio, arguably a proxy fo...
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...
Concentrating the Value Premium and Momentum with FSCORE [PREMIUM]
Can financial statement analysis expose stocks that investors incorrectly view as value or growth (glamor)? In their February 2011 paper entitled “Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach”,...
OTC Stock Returns [PREMIUM]
Does the relatively illiquid, opaque, retail environment of over-the-counter (OTC) stocks make them behave differently from comparable listed stocks? In their November 2010 paper entitled "The Cross Section of Over-the-Counter Equities", Andrew Ang, As...
