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#83 – Pre-Holiday Effect

Authors: Carchano, Tornero

Title: The Pan-European Holiday Effect

Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2556949

Abstract:

The construction of a single European block in the context of financial markets has caused the different national stock exchanges of the euro area to converge towards one common trading calendar that allows to study whether the holiday effect is a pan-European calendar anomaly or country-specific. By applying simulation methods, we provide evidence of the existence of statistically and economically abnormal positive pre- and post-holiday returns in the Eurozone which are not related to higher than average levels of volatility, but which can be explained by the preference of investors to avoid selling around European holidays

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#118 – Time Series Momentum Effect

Authors: Hutchinson, O'Brien

Title: Trend Following and Macroeconomic Risk

Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2550718

Abstract:

We examine the relationship between the returns of trend following and macroeconomic risk. Our results demonstrate that macroeconomic factors do have a statistically significant relationship with trend following, when we allow for the dynamic exposures of the strategy. We find that this time varying risk exposure allows trend following to generate positive returns across a wide range of bond and equity market cycles. Prior research has documented that the majority of cross sectional momentum returns are derived from macroeconomic risk exposures. However, the same is not true for trend following where at least half of performance comes from the unexplained components of futures returns. When we relate performance to the conditional volatility of macroeconomic variables, our results show that trend following generates higher returns in periods where economic uncertainty is low.

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Related research paper has been included into existing free strategy review.

#26 – Value (Book-to-Market) Anomaly

Authors: Hsu, Myers, Whitby:

Title: Timing Poorly: A Guide to Generating Poor Returns While Investing in Successful Strategies

Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2560434

Abstract:

Value investing is viewed as a historically successful investment strategy. The literature generally agrees on the robustness of the strategy but disagrees on the explanations for the success. While the empirical research focuses exclusively on the time-series returns — or the buy-and-hold return — of a value portfolio, the investor experience is, of course, driven by the internal rate of return (IRR) — or the dollar-weighted average return. Although the buy-and-hold average portfolio return may be the proper way to document the anomaly, the dollar-weighted average return can shed light on some interesting questions which cannot be addressed by analyzing the buy-and-hold returns. In particular, examining the dollar-weighted returns allows us to ask whether investors have actually generated superior IRR consistent with the reported buy-and-hold outperformance of value strategies.

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Quantpedia Update

One new strategy has been added:

#257 – Cloning Hedge Fund Indexes

And four new related research paper have been included into existing strategy reviews.

Quantpedia Update

One new strategy has been added:

#256 – Shorting Volatility During FOMC Meeting Days

And four new related research paper have been included into existing strategy reviews.

Quantpedia Update

Three new related research papers have been included into existing strategy reviews:

#5 – FX Carry Trade
#6 – Volatility Effect in Stocks – Long-Short Version
#7 – Volatility Effect in Stocks – Long-Only Version
#230 – Mean Variance Carry Trade Strategy