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Using Bayesian Solutions to Resolve the Factor Zoo--We propose a novel framework for analyzing linear asset pricing mode...
07/22/2024

Using Bayesian Solutions to Resolve the Factor Zoo--
We propose a novel framework for analyzing linear asset pricing models: simple, robust, and applicable to high-dimensional problems.

We propose a novel framework for analyzing linear asset pricing models: simple, robust, and applicable to high-dimensional problems.

The Impact of Amortizing Volatility across Private Investments--The amortization of volatility should be of concern for ...
07/19/2024

The Impact of Amortizing Volatility across Private Investments--
The amortization of volatility should be of concern for private capital asset classes. In order to properly budget for beta risks, it is critical that investors in private assets understand the amount of systemic (beta) risk that will “wash” into their private portfolios.

While publicly traded stocks, bonds, and real estate have their prices constantly adjusted throughout the day, leading to lots of volatility, private capital managers have significant discretion as to when and how they mark-to-market or mark-to-model their portfolios (typically valued quarterly). Be...

Explaining the Performance of Low-Priced Stocks: The Penny Stock Anomaly--An efficient way to improve the expected perfo...
07/12/2024

Explaining the Performance of Low-Priced Stocks: The Penny Stock Anomaly--
An efficient way to improve the expected performance of an equity strategy would be to systematically exclude penny stocks, as well with high asset growth and extreme past returns, especially if they have low profitability (and exclude funds that don’t screen out such stocks).

An efficient way to improve the expected performance of an equity strategy would be to systematically exclude penny stocks, as well with high asset growth and extreme past returns, especially if they have low profitability (and exclude funds that don’t screen out such stocks).

Polluters Provide Higher Returns than Non-Polluters--Atilgan, Demirtas, and Gunaydin found that there has been a polluti...
07/05/2024

Polluters Provide Higher Returns than Non-Polluters--
Atilgan, Demirtas, and Gunaydin found that there has been a pollution premium for US stocks and that the premium translated into superior investment performance.

While sustainable investments allow investors to express their attitude to social investment criteria, research (for example, about socially responsible mutual funds and also about sustainability) has found that the demand for sustainable investments is driven by both financial and nonfinancial moti...

When Shorts Don’t Short--Low short positions come from positive public news, while negative news can drive average short...
06/21/2024

When Shorts Don’t Short--
Low short positions come from positive public news, while negative news can drive average short or extremely high short positions

The important role played by short sellers, who, through their actions, keep prices efficient by preventing overpricing and the formation of price bubbles in financial markets, has received increasing academic attention in recent years. Research into the information contained in short-selling activi...

Momentum Everywhere, Even Cross-Country Factor Momentum--There is strong empirical evidence demonstrating that momentum ...
05/24/2024

Momentum Everywhere, Even Cross-Country Factor Momentum--
There is strong empirical evidence demonstrating that momentum (both cross-sectional and time-series) provides information on the cross-section of returns of many risk assets and has generated alpha relative to existing asset pricing models.

Among the many factors cited in academic research, only a handful have been sufficiently reliable for use in asset pricing models. One of those is momentum. The evidence has been robust for not only cross-sectional (relative) and time-series (absolute or trend) momentum, but also for factor momentum...

Postpandemic Inflation in Eleven Economies--This paper explores the applicability of the Bernanke-Blanchard (BB) model a...
05/20/2024

Postpandemic Inflation in Eleven Economies--
This paper explores the applicability of the Bernanke-Blanchard (BB) model across diverse economies, revealing commonalities and differences in inflation dynamics post-pandemic.

This paper explores the applicability of the Bernanke-Blanchard (BB) model across diverse economies, revealing commonalities and differences in inflation dynamics post-pandemic. It analyzes the impact of price shocks, labor market conditions, and supply disruptions on inflation, providing insights c...

Social Media: The Value of Seeking Alpha’s Recommendations--The finding that the recommendations from SA articles result...
05/17/2024

Social Media: The Value of Seeking Alpha’s Recommendations--
The finding that the recommendations from SA articles resulted in statistically significant risk-adjusted alphas (returns unexplained by conventional academic models using factors such as the market, size, value, momentum, profitability, and quality for equity portfolios) is surprising given that the empirical evidence shows how difficult it is for institutional investors such as mutual funds to

The increased popularity of social media as a forum for market participants to post and exchange opinions has been accompanied by heightened interest from academic researchers who have sought to determine if there is valuable information in the postings. For example, the June 2020 study “Do Indivi...

How Volatility and Turnover Affect Return Reversals--Higher volatility is associated with faster, initially stronger rev...
05/13/2024

How Volatility and Turnover Affect Return Reversals--
Higher volatility is associated with faster, initially stronger reversals, while lower turnover is associated with more persistent, ultimately stronger reversals.
by

In the research reviewed here, the authors analyze the relationship of aggregate market liquidity to the time-series performance of reversal strategies. The strength and persistence of reversals and reversal driven strategies appear to be different depending on specific risk features of those provid...

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