Industry classification and the momentum factor
This paper finds that the level of industry classification plays a significant role in the performance of industry momentum strategies.
About Tommi Johnsen, PhD
Tommi Johnsen is the former Director of the Reiman School of Finance and an Emeritus Professor at the Daniels College of Business at the University of Denver. She has worked extensively as a research consultant and investment advisor for institutional investors and wealth managers in quantitative methods and portfolio construction. She taught at the graduate and undergraduate levels and published research in several areas including: capital markets, portfolio management and performance analysis, financial applications of econometrics and the analysis of equity securities. In 2019, Dr. Johnsen published “Smarter Investing” with Palgrave/Macmillan, a top 10 in business book sales for the publisher. She received her Ph.D. from the University of Colorado at Boulder, with a major field of study in Investments and a minor in Econometrics. Currently, Dr. Johnsen is a consultant to wealthy families/individuals, asset managers, and wealth managers.Can ChatGPT Help You Read Financial Statements? Yes.
Can chatbots, like ChatGPT, be used to interpret and condense lengthy financial disclosures into shorter but relevant documents?
Reducing the Impact of Momentum Crashes
Momentum crashes are a blight on the performance of momentum strategies. Although there has been a fair amount of research on the topic, few practical solutions have emerged to mitigate the impact on portfolios. In this study, the authors document the outperformance of stocks, in terms of momentum, far away from their peak position relative to stocks very near their peaks. Turns out the outperformance is very large. It also accounts for the majority of negative momentum performance.
What are the Best Times for ETF Investors to Trade?
The expense ratio aside, the cost of transacting in an ETF depends on the size of the bid/ask spread at any point in time during the trading day. The ETF investor should make evidence-based trading decisions since the bid/ask spread can range from 1 basis point (bp) to several hundred bps. What are some intelligent guidelines for ETF investors--avoid the open, avoid the close, and what about everything in-between? This article provides data on the effect of the time of day on the average bid/ask spread for ETFs.
How factor exposure changes over time: a study of Information Decay
Factor strategies need to be rebalanced in order to maintain their factor exposure. But different factors decay at different rates and this affects how they should be rebalanced. For example, momentum needs to be rebalanced more than value. This study digs into these questions.
How Did the FTX collapse Affect Traditional Assets?
In this study, the impact of the FTX collapse and bankruptcy is investigated across global financial markets.
Comparing past and present inflation rates can be tricky
The objective of this article is to build better estimates of CPI headline and core inflation values so inflation comparisons over time are more reliable. The run-up in inflation we are currently experiencing is difficult to contextualize because it is inconsistent with past practices, weights on expenditures have changed, and the treatment of housing costs.
Can We Improve Momentum Factor Investing via Salience Theory?
The contribution of salience theory to the theory of asset pricing turns out to be quite a profitable insight for momentum strategies.
Do Gender Pay-Gap Disclosures Make a Difference?
The verdict is still out on the impact of legislation regarding firm disclosure rules on the gender pay gap (GPG). Results from recently published research are mixed.
Political Beta
This example of research on political beta is an example of applying portfolio theory to problems associated with global politics.
Expected Returns for Private Equity Will Probably Suck
The illiquid nature of the asset class makes the demystifying of private equity returns difficult to achieve under any circumstances, but the framework presented in this article should move the reader closer to the goal.
Measuring Geopolitical Risk
Although geopolitical risk has traditionally been approached from a qualitative aspect, what makes it a novel risk is the application of innovative techniques to measure it.
Volatility scaling is useful for factor timing
This paper investigates the effects of volatility scaling on factor portfolio performance and factor timing.
Want to Get on a Corporate Board? Who You Know Matters
Here's what the research says about how to get on a board of directors.
Is there a theoretical foundation behind industry and factor momentum
Industry and factor momentum should be viewed as recent developments in the wider momentum story, although these aggregated measures of momentum lack any theoretical foundation.
Momentum Factor Investing: 30 years of Out of Sample Data
In this article, the author examines the research published over the last 30 years on momentum and its theoretical credibility. One of the original momentum articles was published by Jegadeesh and Titman in 1993, and is considered the seminal work on the topic. The research review contained in this publication begins with the 1993 work and confines itself to only the highest quality journals among the plethora of work that has been published on momentum.
Is Democracy better for the stock market?
We examine the question of whether or not democracy leads to better possible outcomes for the stock market.
Does Gender Affect Reactions to Market Sentiment Shifts?
Does gender matter in institutional investing?
Should Levered and Inverse ETFs Even Exist?
In this article, we explore Levered and Inverse ETPs (exchange-traded products); their purpose, the circumstances in which they tend to succeed and fail, and the research questions associated with them.
Is Momentum a Separate Factor?
We find that factor momentum concentrates in factors that explain more of the cross section of returns and that it is not incidental to individual stock momentum: momentum-neutral factors display more momentum.