{"id":513,"date":"2012-07-01T08:11:58","date_gmt":"2012-07-01T08:11:58","guid":{"rendered":"http:\/\/quantpedia.com\/?p=513"},"modified":"2019-08-22T05:47:22","modified_gmt":"2019-08-22T05:47:22","slug":"quantpedia-update-1st-july-2012","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/quantpedia-update-1st-july-2012\/","title":{"rendered":"Quantpedia Update – 1st July 2012"},"content":{"rendered":"

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

\n\t#195 – Long Term Debt Factor within Stocks<\/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>1962 – 2001
\n\tIndicative performance:<\/strong>  10.50%
\n\tEstimated volatility:<\/strong>  6.58%
\n\tSource paper:<\/strong><\/p>\n

\n\tRichardson, Sloan, Soliman, Tuna: Accrual Reliability, Earnings Persistence and Stock Prices<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=521062<\/a>
\n\tAbstract:
\n\tThis paper extends the work of Sloan (1996) by linking accrual reliability to earnings persistence. We construct a model showing that less reliable accruals lead to lower earnings persistence. We then develop a comprehensive balance sheet categorization of accruals and rate each category according to the reliability of the underlying accruals. Empirical tests generally confirm that less reliable categories of accruals lead to lower earnings persistence and that investors do not fully anticipate the lower earnings persistence, leading to significant security mispricing. We conclude that there are significant costs associated with the recognition of unreliable information in financial statements.<\/p>\n

\n\t#196 –<\/strong> Effect of Change in Non-Current Operating Assets<\/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> 1962 – 2001
\n\tIndicative performance:<\/strong> 16.10%
\n\tEstimated volatility:<\/strong> 7.26%
\n\tSource paper:<\/strong>Richardson, Sloan, Soliman, Tuna: Accrual Reliability, Earnings Persistence and Stock Prices<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=521062<\/a>
\n\tAbstract:
\n\tThis paper extends the work of Sloan (1996) by linking accrual reliability to earnings persistence. We construct a model showing that less reliable accruals lead to lower earnings persistence. We then develop a comprehensive balance sheet categorization of accruals and rate each category according to the reliability of the underlying accruals. Empirical tests generally confirm that less reliable categories of accruals lead to lower earnings persistence and that investors do not fully anticipate the lower earnings persistence, leading to significant security mispricing. We conclude that there are significant costs associated with the recognition of unreliable information in financial statements.<\/p>\n

\n\t <\/p>\n

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

\t#14 – Momentum Effect in Stocks<\/strong><\/p>\n

\n\tRachwalski, Wen: Momentum, Risk and Underreaction<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2085340<\/a>
\n\tAbstract:
\n\tMomentum profits can be explained by exposure to risks omitted from common factor models and underreaction to innovations in these omitted risks. Consistent with risk as a partial explanation of momentum profits, long formation period momentum strategies earn higher returns and are more highly correlated with factors designed to measure risk than short formation period momentum strategies.<\/p>\n

\n\t#133 –<\/strong> Timing the Small Cap Effect<\/strong><\/p>\n

\n\tZakamouline: Predictable Dynamics in the Small Stock Premium<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2080404<\/a>
\n\tAbstract:
\n\tWe start this paper by providing a detailed study of how the mean monthly return on the Small-Minus-Big (SMB) Fama-French factor is affected by the January effect and the stock market return during the preceding month and preceding calendar year. We then proceed to building a predictive model for the monthly SMB factor return that incorporates the January effect and the dependence on both the market return during the preceding month and preceding calendar year. We demonstrate that the January effect constitutes a much lesser part of the size effect than it was previously supposed. Our findings suggest that the small stock premium appears mainly as the result of a delayed and strong reaction of small stocks to good news during a period of prolonged bad times of economy.<\/p>","protected":false},"excerpt":{"rendered":"

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

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

\n\t#195 – Long Term Debt Factor within Stocks<\/strong><\/p>\n

\n\t#196 –<\/strong> Effect of Change in Non-Current Operating Assets<\/strong><\/p>\n

\n\tAnd two new related research papers have 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-513","post","type-post","status-publish","format-standard","hentry"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/513","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=513"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/513\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=513"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=513"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=513"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}