Since it is likely that both the Relative Sentiment and Trend Following strategies will underperform at some points in the future, “a 50-50 combination of TF and RS might reduce the emotional volatility an investor may experience from holding only the underperforming strategy.”
Here's what the research says about how to get on a board of directors.
This paper explores the question of option momentum by examining what the research says about the performance of option investments across different stocks.
We examine trend-following rules when the stock returns follow a two-state process that randomly switches between bull and bear markets.
Are active managers victims of the same bias as individual investors? That is the question we’ll explore in this paper.
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.
We study the cross-section of stock returns using a novel constructed database of U.S. stocks covering 61 years of independent data.
Soroush Ghazi and Mark Schneider authors of the August 2022 study “Market Risk and Speculation Factors” decomposed the excess market return (the equity risk premium) into speculative (in the simple sense that it is negative, reflecting a premium investors pay to hold assets that are more subject to speculative demand) and non-speculative, or risk (in the simple sense that it is positive, a necessary characteristic for a factor to reflect compensation for risk) components.
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.
This article discusses the academic research about the Momentum Gap and the role that its predictive potential may have in reducing momentum crashes, hence possibly improving performance.
In this article, the author examines several important questions related to asynchronous trading, or the variation in trading frequency that occurs when trading stocks or other assets.
In this article, we examine the research addressing the question of to what extent, if any, ESG strategies improve investment performance on a risk-adjusted basis, or if they are more effectively used for the societal impact they potentially have.
We discuss the academic research about the causal effect of indexing on arbitrage conditions and price discovery.
We examine the question of whether or not democracy leads to better possible outcomes for the stock market.
It is well documented in the literature that over the long term, low-investment firms have outperformed high-investment firms—with the negative relation between asset growth (AG) and future stock returns particularly featured by the overvaluation of high AG stocks.
In this article, we examine the academic research about what millionaires invest in.
Atilgan et al. contribute to the momentum literature with “Momentum and Downside Risk in Emerging Markets.”
Does gender matter in institutional investing?
This article discusses what academic research says about the relationship between the demand for leverage and management fees.
In this article, we examine what the research says about gender pay gap transparency. We look at the research questions and academic insights with an eye toward why it matters.
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