#14 – Momentum Effect in Stocks
#26 – Value (Book-to-Market) Anomaly
Ung, Kang: Alternative Beta Strategies in Commodities
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2359475
Abstract:
Alternative beta strategies can serve a variety of different investment objectives, which may include reducing volatility or achieving tilts to systematic risk exposures. It is therefore essential for investors to examine whether these strategies meet their own investment objectives and risk-taking preferences. Two main approaches to alternative beta are reviewed in this paper: the ‘risk-based approach,’ which entails reducing portfolio risk; and the ‘factor-based approach,’ which involves enhancing return through earning systematic risk premia, with a focus on the latter. Whilst alternative beta is fairly well established in equity strategy investing, it is still a nascent concept in commodities. However, as a result of investors’ pursuit of better diversified portfolios and a recognition that systematic risk factors explain the majority of returns, the development of commodity alternative beta products is gathering pace. This is not entirely unforseen, as investors now view their investment opportunity in the context of risk premia, rather than individual asset classes. From our investigation in this study, there appears to be potential benefit in allocating into alternative beta strategies as part of a portfolio’s commodity allocation, and we find that combining risk-based and factor-based commodity strategies has historically delivered higher return and lower risk than passive long-only strategies on their own. Finally, it should be borne in mind that alternative beta strategies often take substantial active risks, which are largely driven by factor exposures. Factor returns can be volatile, and all alternative beta strategies can experience considerable drawdown at times. However, as these risk factors have a low correlation with each other, it may be sensible to combine them in order to improve return and reduce risk.
#21 – Momentum Effect in Commodities
#22 – Term Structure Effect in Commodities
Ung, Kang: Alternative Beta Strategies in Commodities
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2359475
Abstract:
Alternative beta strategies can serve a variety of different investment objectives, which may include reducing volatility or achieving tilts to systematic risk exposures. It is therefore essential for investors to examine whether these strategies meet their own investment objectives and risk-taking preferences. Two main approaches to alternative beta are reviewed in this paper: the ‘risk-based approach,’ which entails reducing portfolio risk; and the ‘factor-based approach,’ which involves enhancing return through earning systematic risk premia, with a focus on the latter. Whilst alternative beta is fairly well established in equity strategy investing, it is still a nascent concept in commodities. However, as a result of investors’ pursuit of better diversified portfolios and a recognition that systematic risk factors explain the majority of returns, the development of commodity alternative beta products is gathering pace. This is not entirely unforseen, as investors now view their investment opportunity in the context of risk premia, rather than individual asset classes. From our investigation in this study, there appears to be potential benefit in allocating into alternative beta strategies as part of a portfolio’s commodity allocation, and we find that combining risk-based and factor-based commodity strategies has historically delivered higher return and lower risk than passive long-only strategies on their own. Finally, it should be borne in mind that alternative beta strategies often take substantial active risks, which are largely driven by factor exposures. Factor returns can be volatile, and all alternative beta strategies can experience considerable drawdown at times. However, as these risk factors have a low correlation with each other, it may be sensible to combine them in order to improve return and reduce risk.
#33 – Post-Earnings Announcement Effect
#38 – Accrual Anomaly
Dechow, Sloan, Zha: Stock Prices & Earnings: A History of Research
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2347193
Abstract:
Accounting earnings summarize periodic corporate financial performance and are a key determinant of stock prices. We review research on the usefulness of accounting earnings, including research on the link between accounting earnings and firm value and research on the usefulness of accounting earnings relative to other accounting and non-accounting information. We also review research on the features of accounting earnings that make it useful to investors, including the accrual accounting process, fair value accounting and the conservatism convention. We finish by summarizing research that identifies situations in which investors appear to misinterpret earnings and other accounting information leading to security mispricing.
#97 – Half-day Reversal
Kudryavtsev: Overnight Stock Price Reversals
http://www.degruyter.com/view/j/jasf.2012.3.issue-2/v10259-012-0011-1/v10259-012-0011-1.xml
Abstract:
In present study, I explore the dynamics of stock price reversals. In particular, I try to shed light on the overnight reversals, that is, on the price reversals between the end of a trading day and the opening session of the next trading day. To account for the "end-of-the-day" price moves, for each of the stocks currently making up the Dow Jones Industrial Index, I compare, on the daily basis, the high-to-close and the low-to-close price changes, and also compare them to the same day's average and median changes for the total sample of stocks. I document that opening returns tend to be higher following the days with relatively large high-to-close price changes (price decreases at the end of the day), and lower following the days with relatively large low-to-close price changes (price increases at the end of the day). Such "overnight reversals" price behavior seems to contradict the market efficiency. Finally, I construct five portfolios based on the opening trading sessions and involving a long position in the stocks on the days when, according to the "overnight reversals" behavior, their opening returns are expected to be high and a short position in the stocks on the days when their opening returns are expected to be low. All the portfolios are found to yield significantly positive returns, providing an evidence for the practical applicability of the "overnight reversals" pattern in stock prices.
