UNIVERSITY OF ROCHESTER. Home work Assignment #4 Due: May 24, 2012
|
|
- Janis Daniels
- 5 years ago
- Views:
Transcription
1 UNIVERSITY OF ROCHESTER William E. Simon Graduate School of Business Administration FIN 532 Advanced Topics in Capital Markets Home work Assignment #4 Due: May 24, 2012 The point of this assignment is 1) to make sure that you don t get out of this class without knowing how to download and organize the basic CRSP and Compustat data; 2) to get you looking at real data before you actually have to produce a paper; and 3) to basically lower the bar to doing empirical work by giving you a starter library of code that can be modified and expanded in the future to suit your needs. The assignment will consequently be a lot more work, but a lot more valuable, to those early in the program. If you have your own code and are comfortable with your way of doing things, there s no need to use mine. The assignment: Please replicate some know result from the literature on the cross section of expected stock returns (see below for a list of possible topics but please feel free to choose a result that is not on the list). Please adhere to the following guidelines: Be skeptical! o There are at least a couple topics on the list where I think the data only provide very weak support (at best) for the authors claims. Please go beyond what was done in the literature in some dimension. I want you to (try to) replicate the basic empirical facts not replicate the paper. o How persistent are the strategy s abnormal returns (does the signal predicting returns only have highly transitory power)? o Is the result there outside the really small stocks? Almost everything is much stronger in the small caps. o Sub-sample (or out-of-sample) results? o Is it stronger in industries, or across industries? You do not need to do all of these. Please just pick some further dimension to explore that you think is particularly relevant to your topic (and it doesn t have to be one of those listed above). As data checks along the way my code looks at some very basic results (e.g., value and momentum). If you choose one of these topics, then I ll expect you to do more above and beyond the basic results. If you already have experience with these data, the please pick something you haven t looked at before.
2 2 o I ll also expect you to be a little more ambitious in your analysis. You don t need to write a paper. Turn in a few tables showing the basic results and the additional dimension you investigate. Include a brief summary (few paragraphs) summarizing what you found, and in what ways it s both consistent and inconsistent with the prominent literature. o Be concise! I do not want to see the results of every test you ran. It is as important to figure out what not to include as what to include Early in your career writing papers you ll have a hard time leaving out any table that has anything mildly interesting (they re your babies) but if a table isn t central to your story, then drop it! If you don t have your own code, I have posted a zip file ( Matlab_Package ). It has detailed instructions, and corresponding code, that will walk you through getting and organizing the data. Start with the word files CRSP data exercise and Compustat data exercise. Some topic suggestions The following topics are simply meant as possibilities (they are relatively easy, and can be done with the data from the exercises), and are no means meant to be exhaustive. Please feel free to pick a topic that does not appear on this list. Topic: Performance of the CAPM / Betting Against Beta Data Issues: Requires rolling estimates of stock betas the Make_betas script in the project folder helps with that. 1. Fischer Black, Michael Jensen, and Myron Scholes, The Capital Asset Pricing Model: Some Empirical Tests, Studies in the Theory of Capital Markets, Praeger Publishers Inc., 1972 (and easily available online). 2. Andrea Frazzini and Lasse Pedersen, Betting Against Beta, working paper, Topic: Value and Long Run Reversals 1. Werner De Bondt and Richard Thaler, Does the Stock Market Overreact? Journal of Finance, Eugene Fama and Kenneth French, Common Risk Factors in the Returns of Stocks and Bonds, Journal of Financial Economics, 1993.
3 Topic: Characteristics vs. Covariances 3 Data Issues: Requires rolling estimates of stock betas the Make_betas script in the project folder helps with that. 1. Daniel, Kent, and Sheridan Titman, Evidence on the characteristics of crosssectional variation in common stock returns, Journal of Finance, Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers, Measuring Mutual Fund Performance with Characteristic-Based Benchmarks, James Davis, Eugene Fama, and Kenneth French, Characteristics, covariances, and average returns: , Journal of Finance, Topic: Basic momentum 1. Narasimhan Jegadeesh, Evidence of Predictable Behavior of Security Returns, Journal of Finance, Narasimhan Jegadeesh and Sheridan Titman, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance, Topic: Industry and style momentum 1. Tobias Moskowitz, Do industries explain momentum? Journal of Finance, Cliff Asness, Burt Porter and Ross Stevens, Predicting Stock Returns Using Industry- Relative Firm Characteristics, working paper, Jonathan Lewellen, Momentum and Autocorrelation in Stock Returns, Review of Financial Studies, Topic: Momentum Refinements 1. Steven Heston and Ronnie Sadka, Seasonality in the Cross-Section of Stock Returns, Journal of Financial Economics, Robert Novy-Marx, Is Momentum Really Momentum? Journal of Financial Economics, 2012.
4 Topic: Profitability 4 1. Eugene Fama and Kenneth French, Profitability, Investment and Average Returns, Journal of Financial Economics, Robert Novy-Marx, The Other Side of Value: Good Growth and the Gross Profitability Premium. working paper. 3. Long Chen, Robert Novy-Marx, and Lu Zhang, An Alternative Three-Factor Model, working paper. Topic: Post Earnings Announcement Drift Data Issues: Requires quarterly earnings announcements and announcement dates see Getting the Quarterly Data in the project folder. 1. Ray Ball and Philip Brown, An Empirical Evaluation of Accounting Income Numbers, Journal of Accounting Research, Victor Bernard and Jacob Thomas, Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? Journal of Accounting Research, Topic: The Accruals Anomaly 1. Richard Sloan, Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? Accounting Review, Patricia Dechow and Ilia Dichev, The Quality of Accruals and Earnings: The Role of Accrual Estimation Errors, Accounting Review, Topic: Mutual Fund Performance Persistence Data Issues: Requires mutual fund return data see Getting the Mutual Fund Data in the project folder. 1. Mark Carhart, On Persistence in Mutual Fund Performance, Journal of Finance, 1997.
5 5 Topic: Investment Anomalies (asset growth and capital expenditures) 1. Michael Cooper, Huseyin Gulaen and Michael Schill, Asset Growth and the Cross- Section of Stock Returns, Journal of Finance, Sheridan Titman, K.C. John Wei, Feixue Xie, Capital Investments and Stock Returns, Journal of Financial and Quantitative Analysis, Long Chen, Robert Novy-Marx, and Lu Zhang, An Alternative Three-Factor Model, working paper. Topic: Distress anomalies (e.g., the under-performance of troubled firms) Data Issues: Uses quarterly data see Getting the Quarterly Data in the project folder. 1. John Campbell, Jens Hilscher, and Jan Szilagyi, In search of distress risk, Journal of Finance, James Ohlson, Financial ratios and the probabilistic prediction of bankruptcy, Journal of Accounting Research, Topic: Equity issuance and under-performance Data Issues: Works much better with quarterly data see Getting the Quarterly Data in the project folder. 1. Tim Loughran and Jay Ritter, The New Issues Puzzle, Journal of Finance, Tim Loughran and Jay Ritter, The Operating Performance of Firms Conducting Seasoned Equity Offerings, Journal of Finance, Other possibilities The Stock Market Valuation of Research and Development Expenditures (Chan, Lakonishok and Sougiannis, JF 2001) also looks at advertising. Industry Concentration and Average Stock Returns (Hou and Robinson, JF 2006). Evaluate the performance of investment strategies from the popular literature (for example, Greenblat s Little Book That Beats the Market).
The Value Premium and the January Effect
The Value Premium and the January Effect Julia Chou, Praveen Kumar Das * Current Version: January 2010 * Chou is from College of Business Administration, Florida International University, Miami, FL 33199;
More informationInterpreting factor models
Discussion of: Interpreting factor models by: Serhiy Kozak, Stefan Nagel and Shrihari Santosh Kent Daniel Columbia University, Graduate School of Business 2015 AFA Meetings 4 January, 2015 Paper Outline
More informationOnline Appendix to Turning Alphas into Betas: Arbitrage and Endogenous Risk
Online Appendix to Turning Alphas into Betas: Arbitrage and Endogenous Risk Thummim Cho Harvard University January 15, 2016 Please click here for the most recent version and online appendix. Abstract The
More informationUsing Maximum Drawdowns to Capture Tail Risk*
Using Maximum Drawdowns to Capture Tail Risk* Wesley R. Gray Drexel University 101 N. 33rd Street Academic Building 209 Philadelphia, PA 19104 wgray@drexel.edu Jack R. Vogel Drexel University 101 N. 33rd
More informationAsset Pricing Anomalies and Financial Distress
Asset Pricing Anomalies and Financial Distress Doron Avramov, Tarun Chordia, Gergana Jostova, and Alexander Philipov March 3, 2010 1 / 42 Outline 1 Motivation 2 Data & Methodology Methodology Data Sample
More informationEarly evidence on the efficient market hypothesis was quite favorable to it. In recent
Appendix to chapter 7 Evidence on the Efficient Market Hypothesis Early evidence on the efficient market hypothesis was quite favorable to it. In recent years, however, deeper analysis of the evidence
More information- Breaking Down Anomalies: Comparative Analysis of the Q-factor and Fama-French Five-Factor Model Performance -
- Breaking Down Anomalies: Comparative Analysis of the Q-factor and Fama-French Five-Factor Model Performance - Preliminary Master Thesis Report Supervisor: Costas Xiouros Hand-in date: 01.03.2017 Campus:
More informationQuantitative Analysis in Finance
*** This syllabus is tentative and subject to change as needed. Quantitative Analysis in Finance Professor: E-mail: sean.shin@aalto.fi Phone: +358-50-304-3004 Office: G2.10 (Office hours: by appointment)
More informationThis is a working draft. Please do not cite without permission from the author.
This is a working draft. Please do not cite without permission from the author. Uncertainty and Value Premium: Evidence from the U.S. Agriculture Industry Bruno Arthur and Ani L. Katchova University of
More informationAbsolute Alpha with Moving Averages
a Consistent Trading Strategy University of Rochester April 23, 2016 Carhart (1995, 1997) discussed a 4-factor model using Fama and French s (1993) 3-factor model plus an additional factor capturing Jegadeesh
More informationAnomalies Abroad: Beyond Data Mining
Anomalies Abroad: Beyond Data Mining by * Xiaomeng Lu, Robert F. Stambaugh, and Yu Yuan August 19, 2017 Abstract A pre-specified set of nine prominent U.S. equity return anomalies produce significant alphas
More informationFactoring Profitability
Factoring Profitability Authors Lisa Goldberg * Ran Leshem Michael Branch Recent studies in financial economics posit a connection between a gross-profitability strategy and quality investing. We explore
More informationB Asset Pricing II Spring 2006 Course Outline and Syllabus
B9311-016 Prof Ang Page 1 B9311-016 Asset Pricing II Spring 2006 Course Outline and Syllabus Contact Information: Andrew Ang Uris Hall 805 Ph: 854 9154 Email: aa610@columbia.edu Office Hours: by appointment
More informationAnother Look at Market Responses to Tangible and Intangible Information
Critical Finance Review, 2016, 5: 165 175 Another Look at Market Responses to Tangible and Intangible Information Kent Daniel Sheridan Titman 1 Columbia Business School, Columbia University, New York,
More informationALTERNATIVE MOMENTUM STRATEGIES. Faculdade de Economia da Universidade do Porto Rua Dr. Roberto Frias Porto Portugal
FINANCIAL MARKETS ALTERNATIVE MOMENTUM STRATEGIES António de Melo da Costa Cerqueira, amelo@fep.up.pt, Faculdade de Economia da UP Elísio Fernando Moreira Brandão, ebrandao@fep.up.pt, Faculdade de Economia
More informationEconomics of Behavioral Finance. Lecture 3
Economics of Behavioral Finance Lecture 3 Security Market Line CAPM predicts a linear relationship between a stock s Beta and its excess return. E[r i ] r f = β i E r m r f Practically, testing CAPM empirically
More informationBUSFIN 4224 Behavioral Finance Fall 2017 August 22, October 10, 2017
BUSFIN 4224 Behavioral Finance Fall 2017 August 22, 2017 - October 10, 2017 Professor: Justin Birru Email: birru.2@osu.edu Office: 824 Fisher Hall Office Hours: By Appointment Class Time and Location:
More informationInternet Appendix Arbitrage Trading: the Long and the Short of It
Internet Appendix Arbitrage Trading: the Long and the Short of It Yong Chen Texas A&M University Zhi Da University of Notre Dame Dayong Huang University of North Carolina at Greensboro May 3, 2018 This
More informationBEYOND SMART BETA: WHAT IS GLOBAL MULTI-FACTOR INVESTING AND HOW DOES IT WORK?
INVESTING INSIGHTS BEYOND SMART BETA: WHAT IS GLOBAL MULTI-FACTOR INVESTING AND HOW DOES IT WORK? Multi-Factor investing works by identifying characteristics, or factors, of stocks or other securities
More informationA test of momentum strategies in funded pension systems - the case of Sweden. Tomas Sorensson*
A test of momentum strategies in funded pension systems - the case of Sweden Tomas Sorensson* This draft: January, 2013 Acknowledgement: I would like to thank Mikael Andersson and Jonas Murman for excellent
More informationIn Search of Distress Risk
In Search of Distress Risk John Y. Campbell, Jens Hilscher, and Jan Szilagyi Presentation to Third Credit Risk Conference: Recent Advances in Credit Risk Research New York, 16 May 2006 What is financial
More informationThe Factors That Matter
The Factors That Matter Presented to Democratize Quant / MARC March 22, 2018 Presented by: Tammira Philippe, CFA President Bridgeway Capital Management This material is intended for use by investment professionals
More informationREVISITING THE ASSET PRICING MODELS
REVISITING THE ASSET PRICING MODELS Mehak Jain 1, Dr. Ravi Singla 2 1 Dept. of Commerce, Punjabi University, Patiala, (India) 2 University School of Applied Management, Punjabi University, Patiala, (India)
More informationNBER WORKING PAPER SERIES DIGESTING ANOMALIES: AN INVESTMENT APPROACH. Kewei Hou Chen Xue Lu Zhang
NBER WORKING PAPER SERIES DIGESTING ANOMALIES: AN INVESTMENT APPROACH Kewei Hou Chen Xue Lu Zhang Working Paper 18435 http://www.nber.org/papers/w18435 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts
More informationCore CFO and Future Performance. Abstract
Core CFO and Future Performance Rodrigo S. Verdi Sloan School of Management Massachusetts Institute of Technology 50 Memorial Drive E52-403A Cambridge, MA 02142 rverdi@mit.edu Abstract This paper investigates
More informationThe Long of it: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns
University of Pennsylvania ScholarlyCommons Finance Papers Wharton Faculty Research 12-2014 The Long of it: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns Robert F. Stambaugh University
More informationHOW TO GENERATE ABNORMAL RETURNS.
STOCKHOLM SCHOOL OF ECONOMICS Bachelor Thesis in Finance, Spring 2010 HOW TO GENERATE ABNORMAL RETURNS. An evaluation of how two famous trading strategies worked during the last two decades. HENRIK MELANDER
More informationPersistence in Mutual Fund Performance: Analysis of Holdings Returns
Persistence in Mutual Fund Performance: Analysis of Holdings Returns Samuel Kruger * June 2007 Abstract: Do mutual funds that performed well in the past select stocks that perform well in the future? I
More informationSupplement to Taming the Factor Zoo
Supplement to Taming the Factor Zoo Guanhao Feng Booth School of Business University of Chicago Stefano Giglio Booth School of Business University of Chicago Dacheng Xiu Booth School of Business University
More informationANOMALIES AND NEWS JOEY ENGELBERG (UCSD) R. DAVID MCLEAN (GEORGETOWN) JEFFREY PONTIFF (BOSTON COLLEGE)
ANOMALIES AND NEWS JOEY ENGELBERG (UCSD) R. DAVID MCLEAN (GEORGETOWN) JEFFREY PONTIFF (BOSTON COLLEGE) 3 RD ANNUAL NEWS & FINANCE CONFERENCE COLUMBIA UNIVERSITY MARCH 8, 2018 Background and Motivation
More information15 Week 5b Mutual Funds
15 Week 5b Mutual Funds 15.1 Background 1. It would be natural, and completely sensible, (and good marketing for MBA programs) if funds outperform darts! Pros outperform in any other field. 2. Except for...
More informationMomentum Crashes. Kent Daniel. Columbia University Graduate School of Business. Columbia University Quantitative Trading & Asset Management Conference
Crashes Kent Daniel Columbia University Graduate School of Business Columbia University Quantitative Trading & Asset Management Conference 9 November 2010 Kent Daniel, Crashes Columbia - Quant. Trading
More informationActive portfolios: diversification across trading strategies
Computational Finance and its Applications III 119 Active portfolios: diversification across trading strategies C. Murray Goldman Sachs and Co., New York, USA Abstract Several characteristics of a firm
More informationPROFITABILITY OF CAPM MOMENTUM STRATEGIES IN THE US STOCK MARKET
International Journal of Business and Society, Vol. 18 No. 2, 2017, 347-362 PROFITABILITY OF CAPM MOMENTUM STRATEGIES IN THE US STOCK MARKET Terence Tai-Leung Chong The Chinese University of Hong Kong
More informationHedging Factor Risk Preliminary Version
Hedging Factor Risk Preliminary Version Bernard Herskovic, Alan Moreira, and Tyler Muir March 15, 2018 Abstract Standard risk factors can be hedged with minimal reduction in average return. This is true
More informationThe Arabo-Mediterranean momentum strategies
Online Publication Date: 10 January, 2012 Publisher: Asian Economic and Social Society The Arabo-Mediterranean momentum strategies Faten Zoghlami (Finance department, ISCAE University of Manouba, Tunisaia
More informationEarnings and Price Momentum. Tarun Chordia and Lakshmanan Shivakumar. October 29, 2001
Earnings and Price Momentum By Tarun Chordia and Lakshmanan Shivakumar October 29, 2001 Contacts Chordia Shivakumar Voice: (404)727-1620 (44) 20-7262-5050 Ext. 3333 Fax: (404)727-5238 (44) 20 7724 6573
More informationOPTIMAL CONCENTRATION FOR VALUE AND MOMENTUM PORTFOLIOS
A Work Project, presented as part of the requirements for the Award of a Master Degree in Finance from the NOVA School of Business and Economics. OPTIMAL CONCENTRATION FOR VALUE AND MOMENTUM PORTFOLIOS
More informationThe Interaction of Value and Momentum Strategies
The Interaction of Value and Momentum Strategies Clifford S. Asness Value and momentum strategies both have demonstrated power to predict the crosssection of stock returns, but are these strategies related?
More informationScaling up Market Anomalies *
Scaling up Market Anomalies * By Doron Avramov, Si Cheng, Amnon Schreiber, and Koby Shemer December 29, 2015 Abstract This paper implements momentum among a host of market anomalies. Our investment universe
More informationOptimal Tilts* Malcolm Baker Harvard Business School, Acadian Asset Management. Terry Burnham Chapman University
Optimal Tilts* Malcolm Baker Harvard Business School, Acadian Asset Management Terry Burnham Chapman University Ryan Taliaferro Acadian Asset Management February 12, 2016 Abstract We examine the optimal
More informationA Smoother Path to Outperformance with Multi-Factor Smart Beta Investing
Key Points A Smoother Path to Outperformance with Multi-Factor Smart Beta Investing January 31, 2017 by Chris Brightman, Vitali Kalesnik, Feifei Li of Research Affiliates Researchers have identified hundreds
More informationDo Investors Overvalue Firms With Bloated Balance Sheets?
2004 NBER BF Mtg, NOA Discussion, Kent Daniel p. 1/20 Discussion of: Do Investors Overvalue Firms With Bloated Balance Sheets? by Hirshleifer, Hou, Teoh, Zhang Kent Daniel Kellogg-Northwestern and NBER
More informationAggregate Earnings Surprises, & Behavioral Finance
Stock Returns, Aggregate Earnings Surprises, & Behavioral Finance Kothari, Lewellen & Warner, JFE, 2006 FIN532 : Discussion Plan 1. Introduction 2. Sample Selection & Data Description 3. Part 1: Relation
More informationDispersion in Analysts Earnings Forecasts and Credit Rating
Dispersion in Analysts Earnings Forecasts and Credit Rating Doron Avramov Department of Finance Robert H. Smith School of Business University of Maryland Tarun Chordia Department of Finance Goizueta Business
More informationCourse Syllabus Fall 1997 Finance 7200: Doctoral Seminar--Empirical Research Methods in Finance [Reasonably Final]
Course Syllabus Fall 1997 Finance 7200: Doctoral Seminar--Empirical Research Methods in Finance [Reasonably Final] Revised: 8/25/97 Course Instructor: Russ Wermers Classroom: Business 201 Class Time: Tuesdays
More informationSystematic liquidity risk and stock price reaction to shocks: Evidence from London Stock Exchange
Systematic liquidity risk and stock price reaction to shocks: Evidence from London Stock Exchange Khelifa Mazouz a,*, Dima W.H. Alrabadi a, and Shuxing Yin b a Bradford University School of Management,
More informationLiquidity Styles and Strategies in. U.S., International, and Global Markets
Styles and Strategies in Roger G. Ibbotson Professor in the Practice of Finance Yale School of Management Chairman & CIO Zebra Capital Management, LLC Email: roger.ibbotson@yale.edu Wendy Y. Hu Co-Portfolio
More informationMedium-term and Long-term Momentum and Contrarian Effects. on China during
Feb. 2007, Vol.3, No.2 (Serial No.21) Journal of Modern Accounting and Auditing, ISSN1548-6583, USA Medium-term and Long-term Momentum and Contrarian Effects on China during 1994-2004 DU Xing-qiang, NIE
More informationEstimation of Expected Return: The Fama and French Three-Factor Model Vs. The Chen, Novy-Marx and Zhang Three- Factor Model
Estimation of Expected Return: The Fama and French Three-Factor Model Vs. The Chen, Novy-Marx and Zhang Three- Factor Model Authors: David Kilsgård Filip Wittorf Master thesis in finance Spring 2011 Supervisor:
More informationThis paper can be downloaded without charge from the Social Sciences Research Network Electronic Paper Collection:
= = = = = = = Working Paper Neoclassical Factors Lu Zhang Stephen M. Ross School of Business at the University of Michigan and NBER Long Chen Eli Broad College of Business Michigan State University Ross
More informationReturn Spreads in One-Dimensional Portfolio Sorts Across Many Anomalies
Return Spreads in One-Dimensional Portfolio Sorts Across Many Anomalies Charles Clarke charles.clarke@business.uconn.edu January 2014 I form multi-dimensional sorts across many anomaly variables to study
More information10 Things We Don t Understand About Finance. 3: The CAPM Is Missing Something!
10 Things We Don t Understand About Finance 3: The CAPM Is Missing Something! Models Need two features Simple enough to understand Complex enough to be generally applicable Does the CAPM satisfy these?
More informationPRICE REVERSAL AND MOMENTUM STRATEGIES
PRICE REVERSAL AND MOMENTUM STRATEGIES Kalok Chan Department of Finance Hong Kong University of Science and Technology Clear Water Bay, Hong Kong Phone: (852) 2358 7680 Fax: (852) 2358 1749 E-mail: kachan@ust.hk
More informationInvestment-Based Underperformance Following Seasoned Equity Offering. Evgeny Lyandres. Lu Zhang University of Rochester and NBER
Investment-Based Underperformance Following Seasoned Equity Offering Evgeny Lyandres Rice University Le Sun University of Rochester Lu Zhang University of Rochester and NBER University of Texas at Austin
More informationANOMALY TIME. Adam V. Reed. Matthew C. Ringgenberg. Jacob R. Thornock. September 19, Preliminary; comments welcome; please do not distribute.
1 ANOMALY TIME Boone Bowles Kenan-Flagler Business School, University of North Carolina Boone_Bowles@kenan-flagler.unc.edu Adam V. Reed Kenan-Flagler Business School, University of North Carolina adam_reed@unc.edu
More informationDoes Book-to-Market Equity Proxy for Distress Risk or Overreaction? John M. Griffin and Michael L. Lemmon *
Does Book-to-Market Equity Proxy for Distress Risk or Overreaction? by John M. Griffin and Michael L. Lemmon * December 2000. * Assistant Professors of Finance, Department of Finance- ASU, PO Box 873906,
More informationThe Incredible Shrinking Factor Return
April 2017 The unabridged version of this article is available at researchaffiliates.com. FURTHER READING January 2017 A Smoother Path to Outperformance with Multi-Factor Smart Beta Investing Chris Brightman,
More informationDiscount rates, market frictions, and the mystery of the size premium
Discount rates, market frictions, and the mystery of the size premium THIAGO DE OLIVEIRA SOUZA Current Version: May 15, 2014 First Draft: November 30, 2013 ABSTRACT The average year-end size premium is
More informationMomentum Crashes. The Q -GROUP: FALL SEMINAR. 17 October Kent Daniel & Tobias Moskowitz. Columbia Business School & Chicago-Booth
Momentum Crashes Kent Daniel & Tobias Moskowitz Columbia Business School & Chicago-Booth The Q -GROUP: FALL SEMINAR 17 October 2012 Momentum Introduction This paper does a deep-dive into one particular
More informationSize Matters, if You Control Your Junk
Discussion of: Size Matters, if You Control Your Junk by: Cliff Asness, Andrea Frazzini, Ronen Israel, Tobias Moskowitz, and Lasse H. Pedersen Kent Daniel Columbia Business School & NBER AFA Meetings 7
More informationWikipedia-Based Investor Sentiment and Stock Market Returns Advisor: Michael Ungeheuer
Universität Mannheim 68131 Mannheim 25.11.200925.11.2009 Besucheradresse: L9, 1-2 68161 Mannheim Telefon 0621/181-1646 Telefax 0621/181-1664 Michael Ungeheuer ungeheuer@bwl.uni-mannheim.de http://intfin.bwl.uni-mannheim.de
More informationANALYZING MOMENTUM EFFECT IN HIGH AND LOW BOOK-TO-MARKET RATIO FIRMS WITH SPECIFIC REFERENCE TO INDIAN IT, BANKING AND PHARMACY FIRMS ABSTRACT
ANALYZING MOMENTUM EFFECT IN HIGH AND LOW BOOK-TO-MARKET RATIO FIRMS WITH SPECIFIC REFERENCE TO INDIAN IT, BANKING AND PHARMACY FIRMS 1 Dr.Madhu Tyagi, Professor, School of Management Studies, Ignou, New
More informationInternational Journal of Management Sciences and Business Research, 2013 ISSN ( ) Vol-2, Issue 12
Momentum and industry-dependence: the case of Shanghai stock exchange market. Author Detail: Dongbei University of Finance and Economics, Liaoning, Dalian, China Salvio.Elias. Macha Abstract A number of
More informationCHAPTER 2. Contrarian/Momentum Strategy and Different Segments across Indian Stock Market
CHAPTER 2 Contrarian/Momentum Strategy and Different Segments across Indian Stock Market 2.1 Introduction Long-term reversal behavior and short-term momentum behavior in stock price are two of the most
More informationMOMENTUM INVESTING: SIMPLE, BUT NOT EASY
MOMENTUM INVESTING: SIMPLE, BUT NOT EASY As Of Date: 9/5/2018 Wesley R. Gray, PhD T: +1.215.882.9983 F: +1.216.245.3686 ir@alphaarchitect.com 213 Foxcroft Road Broomall, PA 19008 Empower Investors Through
More informationFF hoped momentum would go away, but it didn t, so the standard factor model became the four-factor model, = ( )= + ( )+ ( )+ ( )+ ( )
7 New Anomalies This set of notes covers Dissecting anomalies, Novy-Marx Gross Profitability Premium, Fama and French Five factor model and Frazzini et al. Betting against beta. 7.1 Big picture:three rounds
More informationEmpirical Evidence. r Mt r ft e i. now do second-pass regression (cross-sectional with N 100): r i r f γ 0 γ 1 b i u i
Empirical Evidence (Text reference: Chapter 10) Tests of single factor CAPM/APT Roll s critique Tests of multifactor CAPM/APT The debate over anomalies Time varying volatility The equity premium puzzle
More informationComparative Study of the Factors Affecting Stock Return in the Companies of Refinery and Petrochemical Listed in Tehran Stock Exchange
Comparative Study of the Factors Affecting Stock Return in the Companies of Refinery and Petrochemical Listed in Tehran Stock Exchange Reza Tehrani, Albert Boghosian, Shayesteh Bouzari Abstract This study
More informationFactor momentum. Rob Arnott Mark Clements Vitali Kalesnik Juhani Linnainmaa. January Abstract
Factor momentum Rob Arnott Mark Clements Vitali Kalesnik Juhani Linnainmaa January 2018 Abstract Past industry returns predict the cross section of industry returns, and this predictability is at its strongest
More informationTowards Unbiased Portfolio Daily Returns
Journal of Applied Finance & Banking, vol. 3, no. 6, 2013, 143-160 ISSN: 1792-6580 (print version), 1792-6599 (online) Scienpress Ltd, 2013 Towards Unbiased Portfolio Daily Returns Yuxing Yan 1 Abstract
More informationBehind the Scenes of Mutual Fund Alpha
Behind the Scenes of Mutual Fund Alpha Qiang Bu Penn State University-Harrisburg This study examines whether fund alpha exists and whether it comes from manager skill. We found that the probability and
More informationKnown to financial academics
Momentum Investing Finally Accessible for Individual Investors By Tobias J. Moskowitz, PhD Known to financial academics for many years, momentum investing is a powerful tool for building portfolio efficiency,
More informationTime-Series Momentum versus Technical Analysis
Time-Series Momentum versus Technical Analysis Abstract Time-series momentum and technical analysis are closely related. The returns generated by these two hitherto distinct return predictability techniques
More informationProfitability of CAPM Momentum Strategies in the US Stock Market
MPRA Munich Personal RePEc Archive Profitability of CAPM Momentum Strategies in the US Stock Market Terence Tai Leung Chong and Qing He and Hugo Tak Sang Ip and Jonathan T. Siu The Chinese University of
More informationFIN512 Professor Lars A. Lochstoer Page 1
FIN512 Professor Lars A. Lochstoer Page 1 FIN512 Empirical Asset Pricing Autumn 2018 Course Outline and Syllabus Contact Information: Professor Lars A. Lochstoer Email: lars.lochstoer@anderson.ucla.edu
More informationLasse Heje Pedersen. Copenhagen Business School, NYU, CEPR, AQR Capital Management
Lasse Heje Pedersen Copenhagen Business School, NYU, CEPR, AQR Capital Management OVERVIEW OF TALK Understanding market efficiency and asset pricing How do you beat the efficiently inefficient market?
More informationThe rise and fall of the Dogs of the Dow
Financial Services Review 7 (1998) 145 159 The rise and fall of the Dogs of the Dow Dale L. Domian a, David A. Louton b, *, Charles E. Mossman c a College of Commerce, University of Saskatchewan, Saskatoon,
More informationNotes. 1 Fundamental versus Technical Analysis. 2 Investment Performance. 4 Performance Sensitivity
Notes 1 Fundamental versus Technical Analysis 1. Further findings using cash-flow-to-price, earnings-to-price, dividend-price, past return, and industry are broadly consistent with those reported in the
More informationRisk-managed 52-week high industry momentum, momentum crashes, and hedging macroeconomic risk
Risk-managed 52-week high industry momentum, momentum crashes, and hedging macroeconomic risk Klaus Grobys¹ This draft: January 23, 2017 Abstract This is the first study that investigates the profitability
More informationReview of literature of: An empirical testing of multifactor assets pricing model in India
International Journal of Multidisciplinary Research and Development Online ISSN: 2349-4182, Print ISSN: 2349-5979, Impact Factor: RJIF 5.72 www.allsubjectjournal.com Volume 4; Issue 6; June 2017; Page
More informationThe Short of It: Investor Sentiment and Anomalies
The Short of It: Investor Sentiment and Anomalies by * Robert F. Stambaugh, Jianfeng Yu, and Yu Yuan November 1, 2010 Abstract This study explores the role of investor sentiment in a broad set of anomalies
More informationSTOCK RETURN ANOMALIES: EVIDENCE FROM BORSA İSTANBUL Hüseyin DAĞLI Duygu ARSLANTÜRK ÇÖLLÜ**
Uluslararası Sosyal Araştırmalar Dergisi The Journal of International Social Research Cilt: 9 Sayı: 47 Volume: 9 Issue: 47 Aralık 2016 December 2016 www.sosyalarastirmalar.com Issn: 1307-9581 STOCK RETURN
More informationImproving Withdrawal Rates in a Low-Yield World
CONTRIBUTIONS Miller Improving Withdrawal Rates in a Low-Yield World by Andrew Miller, CFA, CFP Andrew Miller, CFA, CFP, is chief investment officer at Miller Financial Management LLC, where he is primarily
More informationThe History of the Cross Section of Stock Returns
The History of the Cross Section of Stock Returns Juhani T. Linnainmaa Michael Roberts February 2016 Abstract Using accounting data spanning the 20th century, we show that most accounting-based return
More informationThe Limits to Arbitrage Revisited: The Accrual and Asset Growth Anomalies. Forthcoming in Financial Analysts Journal
The Limits to Arbitrage Revisited: The Accrual and Asset Growth Anomalies Forthcoming in Financial Analysts Journal This Draft: December 22, 2010 Xi Li Boston College Xi.Li@bc.edu Rodney N. Sullivan, CFA
More informationTestimony Before the ABI Chapter 11 Reform Commission. David C. Smith Associate Professor of Commerce University of Virginia
Testimony Before the ABI Chapter 11 Reform Commission David C. Smith Associate Professor of Commerce University of Virginia Field Hearing Thursday, February 21, 2013 2:00 to 4:00 p.m. Las Vegas, Nevada
More informationREVIEW OF OVERREACTION AND UNDERREACTION IN STOCK MARKETS
International Journal of Economics, Commerce and Management United Kingdom Vol. IV, Issue 12, December 2016 http://ijecm.co.uk/ ISSN 2348 0386 REVIEW OF OVERREACTION AND UNDERREACTION IN STOCK MARKETS
More informationDoes Earnings Quality predict Net Share Issuance?
Does Earnings Quality predict Net Share Issuance? Jagadish Dandu* Eddie Wei Faith Xie ABSTRACT We investigate whether quality of earnings predicts net share issuance by corporations. Pontiff and Woodgate
More informationDaily Stock Returns: Momentum, Reversal, or Both. Steven D. Dolvin * and Mark K. Pyles **
Daily Stock Returns: Momentum, Reversal, or Both Steven D. Dolvin * and Mark K. Pyles ** * Butler University ** College of Charleston Abstract Much attention has been given to the momentum and reversal
More informationSurvey of Finance Theory I
Survey of Finance Theory I Basic Information Course number 26:390:571 Section 1 Meeting times / location Wednesdays 1:00-3:50PM 1WP-464 Instructor Yichuan Liu Email yichuan.liu@rutgers.edu Course Overview
More informationFINE-703: Empirical Research in Finance
McGill University Fall 2018 FINE-703: Empirical Research in Finance Prof. Sergei Sarkissian http://sergei-sarkissian.com Class Time: MON 08:35-11:25 Class Location: ARM 375 Office Hours: MON 11:30-12:00
More informationDissecting Anomalies. Eugene F. Fama and Kenneth R. French. Abstract
First draft: February 2006 This draft: June 2006 Please do not quote or circulate Dissecting Anomalies Eugene F. Fama and Kenneth R. French Abstract Previous work finds that net stock issues, accruals,
More informationSystematic equity investing goes by many names: rules-based
Research Optimal Tilts: Combining Persistent Characteristic Portfolios Malcolm Baker, Ryan Taliaferro, and Terence Burnham Malcolm Baker is professor of finance at Harvard Business School, Boston, research
More informationLong-Term Rewarded Equity Factors What Can Investors Learn from Academic Research? Felix Goltz
Long-Term Rewarded Equity Factors What Can Investors Learn from Academic Research? Felix Goltz Outline The venerable academic grounding Three Lessons from academic research What academic grounding does
More informationUNIVERSITY OF ROCHESTER
UNIVERSITY OF ROCHESTER William E. Simon Graduate School of Business Administration FIN 532 Professor G. William Schwert Advanced Topics in Capital Markets CS 3-110L, 275-2470 Fax: 461-5475 Email: schwert@schwert.ssb.rochester.edu
More informationEXPLANATIONS FOR THE MOMENTUM PREMIUM
Tobias Moskowitz, Ph.D. Summer 2010 Fama Family Professor of Finance University of Chicago Booth School of Business EXPLANATIONS FOR THE MOMENTUM PREMIUM Momentum is a well established empirical fact whose
More informationMomentum and Credit Rating
Momentum and Credit Rating Doron Avramov, Tarun Chordia, Gergana Jostova, and Alexander Philipov Abstract This paper establishes a robust link between momentum and credit rating. Momentum profitability
More informationVALUE AND MOMENTUM EVERYWHERE
AQR Capital Management, LLC Two Greenwich Plaza, Third Floor Greenwich, CT 06830 T: 203.742.3600 F: 203.742.3100 www.aqr.com VALUE AND MOMENTUM EVERYWHERE Clifford S. Asness AQR Capital Management, LLC
More informationJournal of Finance and Banking Review. Single Beta and Dual Beta Models: A Testing of CAPM on Condition of Market Overreactions
Journal of Finance and Banking Review Journal homepage: www.gatrenterprise.com/gatrjournals/index.html Single Beta and Dual Beta Models: A Testing of CAPM on Condition of Market Overreactions Ferikawita
More information