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New SSRN papers, June 2020 edition
(I haven't read these yet, but they have abstracts that look interesting.)

Uncertainty Resolution Before Earnings Announcements
papers.ssrn.com/sol3/papers.cf…

Toxic Hedging
papers.ssrn.com/sol3/papers.cf…

May 2020 edition:
Rational Learning and the Term Structures of Value and Growth Risk Premia
papers.ssrn.com/sol3/papers.cf…
Value and Interest Rates: Are rates to blame for value’s torments? (AQR)
papers.ssrn.com/sol3/papers.cf…
Hedger of Last Resort: Evidence from Brazilian FX Interventions, Local Credit, and Global Financial Cycles
papers.ssrn.com/sol3/papers.cf…

Breaking Bad Trends (Research Affilliates)
papers.ssrn.com/sol3/papers.cf…

Smart Beta Made Smart
papers.ssrn.com/sol3/papers.cf…
Stocks for the Long Run? Evidence from a Broad Sample of Developed Markets
papers.ssrn.com/sol3/papers.cf…

Steadfast, Greedy, or Fearful? Strategies for Responding to Extreme Market Volatility
papers.ssrn.com/sol3/papers.cf…
Factor Momentum, Investor Sentiment, and Option-Implied Volatility-Scaling
papers.ssrn.com/sol3/papers.cf…

Lottery Preference and Anomalies
papers.ssrn.com/sol3/papers.cf…
Private Information behind Insider Trades: Evidence from Cross Section and Time Series
papers.ssrn.com/sol3/papers.cf…

Dividend Taxes and Investment Efficiency: Evidence from the 2003 U.S. Personal Taxation Reform
papers.ssrn.com/sol3/papers.cf…
Biases in Long-Horizon Predictive Regressions (AQR)
papers.ssrn.com/sol3/papers.cf…

US Government Bond Liquidity during the COVID-19 Pandemic
papers.ssrn.com/sol3/papers.cf…

The Structure of Financial Returns
papers.ssrn.com/sol3/papers.cf…
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More from @ReformedTrader see all

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Darren
@ReformedTrader
“The middle class is shrinking, but not due to falling into poverty. Rather more people are ascending into higher income brackets.

“In 2018, the share of households earning less than $50,000 (the lower class) dropped below 40% for the first time."

cato.org/blog/middle-cl…
Jordà, Knoll, Kuvshinov, Schularick, and Taylor have an interesting argument regarding inequality here. (Investment returns are normally higher than GDP growth except during world wars.)

The results of this poll are also interesting:
Read 3 tweets
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Darren
@ReformedTrader
1/ Carry Trade and Systemic Risk: Why are FX Options so Cheap? (Caballero, Doyle)

"VIX rolldown performs at least as well as carry.

"However, hedging carry with exchange rate options produces large returns that are not a compensation for systemic risk."

papers.ssrn.com/sol3/papers.cf…
2/ Realized returns for currency carry vs. returns required based on its β (in this case, β exposure to VIX futures rolldown)

Hedged with 1-month, ATM exchange rate options back-calculated from IV data

Note: The authors don't explain why this works or whether it will continue.
3/ Colm O'Shea implemented a similar strategy in real time in 2006-7.

In his interview with Jack Schwager, he notes that implied volatility was too low during that period (and suggests that carry hedged with options may not always work).

Read 13 tweets
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Darren
@ReformedTrader
1/ Exploiting Commodity Momentum Along the Futures Curves (De Groot, Karstanje, Zhou)

"Momentum strategies that invest in contracts on the futures curve with the largest expected roll-yield or the strongest momentum earn higher risk-adjusted returns."

papers.ssrn.com/sol3/papers.cf…
2/ Consistent with Rallis, Miffre, Fuertes (), longer-maturity contracts have higher returns, are less volatile, and are less liquid.

Contracts are fully collateralized (and, later in the paper, will be equally weighted). Returns include T-bill yields.
3/ Roll yields are calculated between the contract to be traded and the adjacent contract with one month less time.

100% turnover = L/S portfolio completely changed once a year

Assumed trading costs >> than the 3.3 bps assumed in other studies.

All three strategies add value.
Read 9 tweets

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