{"id":491,"date":"2012-02-02T19:33:26","date_gmt":"2012-02-02T19:33:26","guid":{"rendered":"http:\/\/quantpedia.com\/?p=491"},"modified":"2019-08-22T05:47:17","modified_gmt":"2019-08-22T05:47:17","slug":"quantpedia-update-2nd-february-2012","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/quantpedia-update-2nd-february-2012\/","title":{"rendered":"Quantpedia Update – 2nd February 2012"},"content":{"rendered":"

\n\tNew strategies:<\/u><\/strong><\/p>\n

\n\t#140 – Ramadan Effect<\/strong><\/p>\n

\n\tPeriod of rebalancing:<\/strong> Monthly
\n\tMarkets traded: <\/strong>equities
\n\tInstruments used for trading:<\/strong> ETFs, funds
\n\tComplexity:<\/strong> Simple strategy
\n\tBactest period: <\/strong>1989-2007
\n\tIndicative performance: <\/strong>6.70%
\n\tEstimated volatility:<\/strong> not stated
\n\tSource paper:<\/strong><\/p>\n

\n\tBialkowski, Etebari, Wisniewski: Piety and Profits: Stock Market Anomaly during the Muslim Holy Month<\/strong>
\n\thttp:\/\/www.econ.canterbury.ac.nz\/RePEc\/cbt\/econwp\/1052.pdf<\/a>
\n\tAbstract:
\n\tObserved by more than 1.5 billion Muslims, Ramadan is one of the most celebrated religious rituals in the world. We investigate stock returns during Ramadan for 14 predominantly Muslim countries over the years 1989-2007. The results show that stock returns during Ramadan are almost nine times higher and less volatile than during the rest of the year. No discernible difference in trading volume is recorded. We find these results consistent with a notion that Ramadan positively affects investor psychology, as it promotes feelings of solidarity and social identity among Muslims world-wide, leading to optimistic beliefs that extend to investment decisions.<\/p>\n

\n\t#141 – Innovative Efficiency Effect in Stocks ver. 2<\/strong><\/p>\n

\n\tPeriod of rebalancing:<\/strong> Yearly
\n\tMarkets traded:<\/strong> equities
\n\tInstruments used for trading:<\/strong> stocks
\n\tComplexity:<\/strong> Complex strategy
\n\tBactest period: <\/strong>1980-2009
\n\tIndicative performance: <\/strong>10.0%
\n\tEstimated volatility:<\/strong> 18.30%
\n\tSource paper:<\/strong><\/p>\n

\n\tCohen, Diether, Malloy: Misvaluing Innovation<\/strong>
\n\thttp:\/\/www.people.hbs.edu\/lcohen\/pdffiles\/dimalco.pdf<\/a>
\n\tAbstract:
\n\tWe demonstrate that a firm’s ability to innovate is predictable, persistent, and relatively simple to compute, and yet the stock market ignores the implications of past successes when valuing future innovation. We show that two firms that invest the exact same in research and development (R&D) can have quite divergent, but predictably divergent, future paths. Our approach is based on the simple premise that while future outcomes associated with R&D investment are uncertain, the past track records of firms may give insight into their potential for future success. We show that a long-short portfolio strategy that takes advantage of the information in past track records earns abnormal returns of roughly 11 percent per year. Importantly, these past track records also predict divergent future real outcomes in patents, patent citations, and new product innovations.<\/p>\n

\n\t <\/p>\n

\n\tNew research paper related to existing strategies:<\/strong><\/u><\/p>\n

\t#106 – Post-Guidance Drift<\/strong><\/p>\n

\n\tDas, Kim, Patro: On the Anomalous Stock Price Response to Management Earnings Forecasts<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1965692<\/a>
\n\tAbstract:
\n\tThis paper examines stock price formation subsequent to management forecasts of quarterly earnings. In the post-announcement period, we find a significant upward price drift for both good news forecasts and bad news forecasts. The asymmetry in the initial market response and the subsequent upward drift in stock prices are consistent with a reversal of an initial overreaction to managers’ bad news forecasts and a continuation of an initial underreaction to managers’ good news forecasts. This interpretation is supported by a negative (positive) relationship between the initial market response and the post-guidance drift in the bad news (good news) group. The drift pattern is robust to issues arising from measurement. Trading strategies exploiting the post-announcement drift suggest the existence of economically significant trading profits, net of estimated trading costs.<\/p>","protected":false},"excerpt":{"rendered":"

\n\tQuantpedia Update<\/u><\/strong><\/p>\n

\n\tTwo new strategies have been added:<\/p>\n

\n\t#140 – Ramadan Effect<\/strong><\/p>\n

\n\t#141 – Innovative Efficiency Effect in Stocks ver. 2<\/strong><\/p>\n

\n\tAnd one new related research paper has been included into existing strategy reviews.<\/p>","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[],"tags":[],"class_list":["post-491","post","type-post","status-publish","format-standard","hentry"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/491","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/comments?post=491"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/491\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=491"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=491"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=491"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}