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Darren 🥚🐣🕊️ Profile picture
@ReformedTrader
Oct 2, 2020 • 8 tweets • 5 min read • Read on X
New SSRN papers, October 2020
(I haven't read these yet, but they have abstracts that look interesting.)

Replicating CTA Positioning: An Improved Method
papers.ssrn.com/sol3/papers.cf…

September 2020 edition
Asset Class Taxonomy: A New Construct for Assessing Balance in Portfolios
papers.ssrn.com/sol3/papers.cf…

Rebalance Timing Luck: The (Dumb) Luck of Smart Beta (Newfound)
papers.ssrn.com/sol3/papers.cf…
Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain
papers.ssrn.com/sol3/papers.cf…

Momentum, Reversals, and Investor Clientele
papers.ssrn.com/sol3/papers.cf…

Firm Uncertainty and Household Spending
papers.ssrn.com/sol3/papers.cf…
What Should Investors Care About? Mutual Fund Ratings by Analysts vs. Machine Learning Technique
papers.ssrn.com/sol3/papers.cf…

Divergence of House Prices in the United States: 2000 to 2015
papers.ssrn.com/sol3/papers.cf…
Factor Modeling: The Benefits of Disentangling Cross-Sectionally for Explaining Stock Returns
papers.ssrn.com/sol3/papers.cf…

Price of Regulations: Regulatory Costs and the Cross-section of Stock Returns
papers.ssrn.com/sol3/papers.cf…
Predicting the Equity Premium with the Implied Volatility Spread
papers.ssrn.com/sol3/papers.cf…

Effect of Option Listing on Financing Decisions
papers.ssrn.com/sol3/papers.cf…
Decoding Systematic Relative Investing: A Pairs Approach
papers.ssrn.com/sol3/papers.cf…

Working with CRSP/COMPUSTAT in R: Reproducible Empirical Asset Pricing
papers.ssrn.com/sol3/papers.cf…

Post Earnings Announcement Drift (PEAD) in Polish Stock Market
papers.ssrn.com/sol3/papers.cf…
Illiquidity, R&D Investment, and Stock Returns
papers.ssrn.com/sol3/papers.cf…

Integration of Income and Estate Tax Planning
papers.ssrn.com/sol3/papers.cf…

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More from @ReformedTrader

Darren 🥚🐣🕊️ Profile picture
Jan 1
1/ Fact, Fiction, and Factor Investing (Aghassi, Asness, Fattouche, Moskowitz)

"We reference an extensive academic literature and perform simple but powerful analyses to address claims about factor investing."

aqr.com/Insights/Resea…
Image
2/ #1. Fiction: Factors are Data-Mined with No Good Economic Story

"Value, momentum, carry, and defensive/quality pass the more stringent statistical tests.

"Many of the factor tests conducted in papers are on variations of a few central themes."


…

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3/ "Value, momentum & defensive/quality applied to US individual stocks has a t-stat of 10.8. Data mining would take nearly a trillion random trials to find this.

"Applying those factors (+carry) across markets and asset classes gets a t-stat of >14."


…


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Read 14 tweets
Darren 🥚🐣🕊️ Profile picture
Dec 31, 2023
1/ Happily Ever After? Cohabitation, Marriage, Divorce, and Happiness in Germany (Zimmermann, Easterlin)

"The formation of unions (separation or divorce) has a positive (negative) effect on life satisfaction. We also see a 'honeymoon period' effect."

researchgate.net/publication/49…
Image
2/ "The model's four terms describe different life stages for an individual who marries during the sample period. The intercept reflects the average life satisfaction of individuals in the baseline period [all noncohabiting years that are at least one year before marriage]."


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3/ " 'How satisfied are you with your life, all things considered?' Responses are ranked on a scale from 0 (completely dissatisfied) to 10 (completely satisfied).

"We center life satisfaction scores around the annual mean of each population subsample in the original population."
Image
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Read 29 tweets
Darren 🥚🐣🕊️ Profile picture
Aug 13, 2023
1/ Short-sightedness, rates moves and a potential boost for value (Hanauer, Baltussen, Blitz, Schneider)
…
* Value spread remains wide
* Relationship between value and rates is not structural
* Extrapolative growth forecasts drive the value premium
…
robeco.com/en-int/insight…
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2/ "The valuation gap between cheap and expensive stocks remains extremely wide. This signals the potential for attractive returns going forward."


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3/ "We observe a robust negative relationship between value returns and changes in the value spread.

"The intercept of ≈10% can be interpreted as a cleaner estimate of the value premium, given that it is purged of the time-varying effects of multiple expansions & compressions." Image
Read 7 tweets
Darren 🥚🐣🕊️ Profile picture
Aug 5, 2023
1/ Advanced Futures Trading Strategies (Robert Carver)

This really interesting book tests some strategies that I haven't seen in the academic literature.

Read Part 1 to see how the author builds portfolios; the new stuff is explored in Parts 2-5.

https://t.co/p1QdFCE9F1amazon.com/Advanced-Futur…



Trend and carry in various volatility regimes
Trend using spot prices
Carry with seasonality corrections
Value (5-year mean reversion) in futures markets
2/ Part 1: Basic directional strategies
Part 2: Adjusted trend, trend and carry in different risk regimes, spot trend, seasonally-adjusted carry, normalized trend, asset class trend
Part 3: Breakouts, value, acceleration, skew
Part 4: Fast mean reversion
Part 5: Relative value


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Skew
Fast mean reversion (approximately two-day holding period)
Fast mean reversion conditioned on trend
3/ Related reading

Time-Series Momentum


Two Centuries of Trend Following
https://t.co/R6JQb6Cg96

Carry
https://t.co/poFk6OWQsO

Value and Momentum Everywhere
https://t.co/l0wVgAOrhL

Leveraged Trading
https://t.co/1bKFEaD5cu



Read 4 tweets
Darren 🥚🐣🕊️ Profile picture
Apr 2, 2023
1/ Natural course of health & well-being in non-hospitalised children & young people after testing for SARS-CoV-2

"Some test-positives & test-negatives reported adverse symptoms for the first time at 6- & 12-months post-test, suggesting multiple causes."

thelancet.com/journals/lanep…
2/ "The broadly similar pattern of adverse health and well-being reported as new-onset at 6- and 12 months among test-positives and test-negatives highlights the non-specific nature of these symptoms and suggests that multiple aetiologies may be responsible."
3/ Related reading:

Efficacy of Vaccination on Symptoms of Patients With Long COVID


Immunoglobulin signature predicts risk of post-acute COVID-19 syndrome
Read 4 tweets
Darren 🥚🐣🕊️ Profile picture
Mar 29, 2023
1/ My conversation with ChatGPT:

What is the best way to manage an absolute return portfolio?

"As an AI language model, I do not have personal opinions, but here are some general guidelines for managing an absolute return portfolio."

chat-gpt.org/chat Image
2/ Do you hedge out market beta in order to make the portfolio more risk balanced?

"Yes, hedging out market beta can help.... This can be achieved through various methods such as shorting market index futures or investing in negatively correlated assets." Image
3/ What are some examples of negatively correlated assets that offer positive CAPM alphas?

"Some examples of negatively correlated assets that have historically offered positive CAPM alphas include gold and equities, government bonds and equities, and REITs and equities." Image
Read 10 tweets

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