{"id":624,"date":"2015-09-08T14:23:25","date_gmt":"2015-09-08T14:23:25","guid":{"rendered":"http:\/\/quantpedia.com\/?p=624"},"modified":"2019-08-22T05:47:52","modified_gmt":"2019-08-22T05:47:52","slug":"quantpedia-update-8th-september-2015","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/quantpedia-update-8th-september-2015\/","title":{"rendered":"Quantpedia Update – 8th September 2015"},"content":{"rendered":"

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

\n\t#276 – Shorting Stocks During the Last Hour of Month<\/strong><\/p>\n

\n\tPeriod of rebalancing:<\/strong> intraday
\n\tMarkets traded: <\/strong>equities
\n\tInstruments used for trading:<\/strong> ETFs, CFDs, futures
\n\tComplexity:<\/strong> Simple strategy
\n\tBactest period:<\/strong> 2002 – 2015
\n\tIndicative performance:<\/strong> 2.40%
\n\tEstimated volatility:<\/strong> not stated
\n\tSource paper:<\/strong><\/p>\n

\n\tNilsson: Turn-of-the-Month: Window Dressing Behavior<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2648136<\/a>
\n\tAbstract:
\n\tWe study the impact of trading during the end of the month. We find that there is a meaningful negative expected return from owning equities in the last trading hour of the month. The effect is large and potentially exploitable by investors that are not tied to monthly reporting cycles. The return pattern is different from other days in equity markets and has persisted over more than a decade. The effect is generally larger for US small cap indices than large cap indices. The reasons for the effect may related to window dressing by fund managers, risk control, lottery-ticket behavior or less likely market manipulation. The effect applies to broad indices making it less likely that it is driven by a few traders but rather by the behavior of a large group of traders responding to the same incentives.<\/p>\n

\n\t#277 – Sequenced Insider Trading<\/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> 1986 – 2011
\n\tIndicative performance:<\/strong> 29.69%
\n\tEstimated volatility:<\/strong> not stated
\n\tSource paper:<\/strong><\/p>\n

\n\tCicero, Wintoki: Insider Trading Patterns<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2128127<\/a>
\n\tAbstract:
\n\tWe analyze the information content of corporate insiders' trades after accounting for certain trading patterns. Insiders spread their trades over longer periods of time when they have a longer-lived informational advantage and when outside investors are less attentive. In contrast, they make isolated trades in short windows of time when their informational advantage is short-lived. Both isolated trades and trade sequences (those spread over multiple consecutive months) predict sizable abnormal returns; for sequences, these abnormal returns are manifest only following the completion of the sequence. The return patterns we identify continue to hold for a large group of insiders that would have been classified as "routine" traders by prior research, suggesting that informed insider trading may be even more widespread than previously thought.<\/p>\n

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

\n\t#112 – Acceleration Effect Combined with Momentum in Stocks<\/strong><\/p>\n

\n\tArdila, Forro, Sornette: The Acceleration Effect and Gamma Factor in Asset Pricing<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2645882<\/a>
\n\tAbstract:
\n\tWe report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse. Thus, momentum can be considered an imperfect proxy for acceleration, and its success can be attributed to its correlation to the predominant Γ-factor. Γ-strategies based on the "acceleration" effect are on average profitable and beat momentum-based strategies in two out of three cases, for a large panel of parameterizations. The "acceleration" effect and the Γ-factor profit from transient non-sustainable accelerating (upward or downward) log-prices associated with positive feedback mechanisms.<\/p>\n

\n\tThree additional related research paper have been included into existing free strategy reviews during last 2 week:<\/strong><\/u><\/p>\n

\n\t#75 – Federal Open Market Committee Meeting Effect on Stocks<\/strong><\/p>\n

\n\tNilsson: The Pre-FOMC Drift Explored<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2640477<\/a>
\n\tAbstract:
\n\tThe pre-FOMC drift was first published in 2011 and is a strong driver of equity market performance over the last 30 years. The effect is able to explain approximately half of all the equity market returns over the measured period. We verify the results of prior studies. Furthermore, the report dives into conditional factors; equity market trend and monetary policy action to see if there is any difference in terms of macro variables. We find that FOMC is rather stable throughout time, macro conditions and has not been dependent on a particular Fed Chair.<\/font> <\/font>It seems as if the markets are expecting that the FOCM will infuse optimism into equity markets as the majority of the gains occurs before the actual announcement. The effect can be due to behavioral issues and herding among market participants but can also be due to information leakage. The effect remains unexplained.<\/font><\/p>\n

\t#14 – Momentum Effect in Stocks
\n\t#25 – Small Capitalization Stocks Premium Anomaly<\/strong><\/p>\n

\n\tSchmidt, Von Arx, Schrimpf, Wagner, Ziegler: Size and Momentum Profitability in International Stock Markets<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2642185<\/a>
\n\tAbstract:
\n\tWe study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset covering 23 stock markets across the globe. We first present evidence of an “extreme” size premium in a large number of countries. These size premia, however, are most likely not realizable due to low stock market depth. We also show that international momentum profitability declines sharply with market capitalization. Momentum premiums are also considerably diminished by trading costs, when taking into account the actual portfolio turnover incurred when implementing this strategy. In contrast to strategies based on size, we find that momentum premia especially for medium-sized stocks still remain economically and statistically significant in most equity markets worldwide after adjusting for transaction costs.<\/p>\n

\n\t#25 – Small Capitalization Stocks Premium Anomaly
\n\t#26 – Value (Book-to-Market) Anomaly<\/strong><\/p>\n

\n\tLambert, Fays, Hubner: Size and Value Matter, But Not the Way You Thought<\/strong>
\n\thttp:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2647298<\/a>
\n\tAbstract:
\n\tFama 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.<\/p>","protected":false},"excerpt":{"rendered":"

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

\n\t#276 – Shorting Stocks During the Last Hour of Month
\n\t#277 – Sequenced Insider Trading<\/strong><\/p>\n

\n\tOne 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.<\/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-624","post","type-post","status-publish","format-standard","hentry"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/624","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=624"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/624\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=624"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=624"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=624"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}