{"id":520,"date":"2012-08-31T21:31:35","date_gmt":"2012-08-31T21:31:35","guid":{"rendered":"http:\/\/quantpedia.com\/?p=520"},"modified":"2019-08-22T05:47:23","modified_gmt":"2019-08-22T05:47:23","slug":"quantpedia-update-31st-august-2012","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/quantpedia-update-31st-august-2012\/","title":{"rendered":"Quantpedia Update – 31st August 2012"},"content":{"rendered":"

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

\n\t#208 – Share Issuance Effect<\/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>1990 – 2009
\n\tIndicative performance:<\/strong>  10.56%
\n\tEstimated volatility:<\/strong> 12.25%
\n\tSource paper:<\/strong><\/p>\n

\n\tLancaster, Bornholt: Share Issuance Effects in the Cross-Section of Stock Returns<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2080759<\/a>
\n\tAbstract:
\n\tPrevious research describes the net share issuance anomaly in U.S. stocks as pervasive, both in size-based sorts and in cross-section regressions. As a further test of its pervasiveness, this paper undertakes an in-depth study of share issuance effects in the Australian equity market. The anomaly is observed in all size stocks except micro stocks. For example, equal weighted portfolios of non-issuing big stocks outperform portfolios of high issuing big stocks by an average of 0.84% per month over 1990–2009. This outperformance survives risk adjustment and appears to subsume the asset growth effect in Australian stock returns.<\/p>\n

\n\t#209 –<\/strong> Volatility Of Volatility Effect in Stocks<\/strong><\/p>\n

\n\tPeriod of rebalancing:<\/strong> Monthly
\n\tMarkets traded:<\/strong> equities
\n\tInstruments used for trading:<\/strong> stocks
\n\tComplexity:<\/strong> Complex strategy
\n\tBactest period:<\/strong> 1996 – 2009
\n\tIndicative performance:<\/strong> 10.56%
\n\tEstimated volatility:<\/strong> 12.20%
\n\tSource paper:<\/strong><\/p>\n

\n\tBaltussen, Van Bekkum, Van Der Grient: Unknown Unknowns: Vol-of-Vol and the Cross Section of Stock Returns<\/strong>
\n\thttp:\/\/www.efa2012.org\/papers\/s2g1.pdf<\/a>
\n\tAbstract:
\n\tThis paper investigates how uncertainty about expected stock returns is priced in the cross-section of stocks. Uncertainty is proxied by the volatility of option-implied volatility (vol-of-vol), with higher vol-of-vol signaling more uncertainty among investors about expected stock returns. We find that high vol-of-vol stocks underperform low vol-of-vol stocks by circa 0.85 percent over the next month, or about 10 percent per year. This negative vol-of-vol e ect cannot be explained by exposures to many previously documented factors, persists for more than 18 months, and also holds in a sample of ADRs. Statistical tests cannot con rm that the vol-of-vol e ect is driven by arbitrage frictions and optimism bias, or by exposures to jump risk or stochastic volatility risk. Moreover, we do not  nd vol-of-vol to be a priced risk factor in traditional asset pricing models, or to re ect higher-order risk. Our results seem inconsistent with rational pricing of uncertainty by a representative agent, and indicate strong information linkages between option and stock markets.<\/p>\n

\n\t <\/p>\n

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

\t#77 – Beta Factor in Stocks<\/strong><\/p>\n

\n\tFrazzini, Kabiller, Pedersen: Buffett's Alpha<\/strong>
\n\thttp:\/\/www.econ.yale.edu\/~af227\/pdf\/Buffett%27s%20Alpha%20-%20Frazzini,%20Kabiller%20and%20Pedersen.pdf<\/a>
\n\tAbstract:
\n\tBerkshire Hathaway has a higher Sharpe ratio than any stock or mutual fund with a history of more than 30 years and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha become statistically insignificant when controlling for exposures to Betting-Against-Beta and quality factors. We estimate that Berkshire’s average leverage is about 1.6-to-1 and that it relies on unusually low-cost and stable sources of financing. Berkshire’s returns can thus largely be explained by the use of leverage combined with a focus on cheap, safe, quality stocks. We find that Berkshire’s portfolio of publicly-traded stocks outperform private companies, suggesting that Buffett’s returns are more due to stock selection than to a direct effect on management.<\/p>","protected":false},"excerpt":{"rendered":"

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

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

\n\t#208 – Share Issuance Effect<\/strong><\/p>\n

\n\t#209 –<\/strong> Volatility Of Volatility Effect in Stocks<\/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-520","post","type-post","status-publish","format-standard","hentry"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/520","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=520"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/520\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=520"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=520"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=520"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}