Two new strategies have been added:
#276 – Shorting Stocks During the Last Hour of Month
#277 – Sequenced Insider Trading
One new related research paper has been included into existing strategy reviews. And three additional related research paper have been included into existing free strategy reviews during last 2 weeks.
#25 – Small Capitalization Stocks Premium Anomaly
#26 – Value (Book-to-Market) Anomaly
Authors: Lambert, Fays, Hubner
Title: Size and Value Matter, But Not the Way You Thought
Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2647298
Abstract:
Fama and French factors do not reliably estimate the size and book-to-market effects. We demonstrate inconsistent pricing of those factors in the US stock market. We replace Fama and French’s independent rankings with the conditional ones introduced by Lambert and Hübner (2013). Controlling ex-ante for noise in the estimation procedure, we have been able to highlight a much stronger book-to-market and size effects than have conventionally been documented similar to Asness et al. (2015). As a significant related outcome, the alternative risk factors have been found to deliver less specification errors when used to price investment portfolios.
Notable quotations from the academic research paper:
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