One new strategy has been added:
#266 – Skewness Effect in Country Equity Indexes
Four new related research paper have been included into existing strategy reviews. And four additional related research paper have been included into existing free strategy reviews during last 2 weeks.
#8 – FX Momentum
#14 – Momentum Effect in Stocks
#21 – Momentum Effect in Commodities
#118 – Time Series Momentum Effect
Authors: Goyal, Jagadeesh
Title: Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?
Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2610288
Abstract:
We analyze the differences between past-return based strategies that differ in conditioning on past returns in excess of zero (time-series strategy, TS) and past returns in excess of the cross-sectional average (cross-sectional strategy, CS). We find that the return difference between these two strategies is mainly due to time-varying long positions that the TS strategy takes in the aggregate market and, consequently, do not have any implications for the behavior of individual asset prices. However, TS and CS strategies based on financial ratios as predictors are sometimes different due to asset selection.
Notable quotations from the academic research paper:
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