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Darren 🥚🐣🕊️ Profile picture
@ReformedTrader
Mar 3, 2021 • 21 tweets • 9 min read • Read on X
New SSRN papers, March 2021
(I haven't read these, but their abstracts look interesting.)

Currency Carry Trades and Global Funding Risk
papers.ssrn.com/sol3/papers.cf…

Term Structure of Equity Yields—A Bottom-Up Approach
papers.ssrn.com/sol3/papers.cf…

Feb 2021 edition
Green and Brown Performances of Mutual Fund Portfolios
papers.ssrn.com/sol3/papers.cf…

What Do the Portfolios of Individual Investors Reveal About the Cross-Section of Equity Returns?
papers.ssrn.com/sol3/papers.cf…
What Drives Closed-End Fund Discounts? Evidence from COVID-19
papers.ssrn.com/sol3/papers.cf…
Value Investing: Requiem, Rebirth or Reincarnation?
papers.ssrn.com/sol3/papers.cf…

Extrapolative beliefs in the cross-section: What can we learn
from the crowds?
www3.nd.edu/~zda/extrap.pdf
Is There a Replication Crisis in Finance? (AQR)
papers.ssrn.com/sol3/papers.cf…

Factor Forestry: Pruning using an Economic Chainsaw
papers.ssrn.com/sol3/papers.cf…

What Affects Factor Loading Uncertainty and Expected Returns? The Role of Accounting Quality
papers.ssrn.com/sol3/papers.cf…
Economic Policy Uncertainty and Hedge Fund Returns
papers.ssrn.com/sol3/papers.cf…

China-U.S. Equity Valuation Gap
papers.ssrn.com/sol3/papers.cf…

Hunt-for-Duration in the Corporate Bond Market
papers.ssrn.com/sol3/papers.cf…

Nonlinear Effect of Sentiment on Momentum
papers.ssrn.com/sol3/papers.cf…
Dynamics in the VIX Complex
papers.ssrn.com/sol3/papers.cf…

Recovering the Variance Premium
papers.ssrn.com/sol3/papers.cf…
Bitcoin is Exactly Like Gold Except When it Isn't
papers.ssrn.com/sol3/papers.cf…
Momentum? What Momentum?
papers.ssrn.com/sol3/papers.cf…
The Financial (In)Stability Real Interest Rate, R**
federalreserve.gov/econres/ifdp/f…
Intangible Capital in Factor Models
papers.ssrn.com/sol3/papers.cf…
COVID-19 and the Stock Market: Liquidity, Pricing Efficiency, and Trading
papers.ssrn.com/sol3/papers.cf…

Why Did Bank Stocks Crash during COVID-19?
papers.ssrn.com/sol3/papers.cf…

Competitors' Innovation and Informed Trading: Evidence from Weekly Patent Announcements
papers.ssrn.com/sol3/papers.cf…
Backcasting, Nowcasting, and Forecasting Residential Repeat-Sales Returns: Big Data meets Mixed Frequency
papers.ssrn.com/sol3/papers.cf…

Stock Option Predictability for the Cross-Section
papers.ssrn.com/sol3/papers.cf…
Tesla Effect and the Mispricing of Special Purpose Acquisition Companies (SPACs)
papers.ssrn.com/sol3/papers.cf…

False Discoveries in the Anomaly Research: New Insights from the Stock Exchange of Melbourne (1927-1987)
papers.ssrn.com/sol3/papers.cf…
Pricing Risk Factors in Corporate Bond Returns and Yield Spreads
papers.ssrn.com/sol3/papers.cf…

Credit Rating and Stock Return Comovement
papers.ssrn.com/sol3/papers.cf…

Inflation Risk and the Finance-Growth Nexus
papers.ssrn.com/sol3/papers.cf…
Zero-Commission Individual Investors, High Frequency Traders, and Stock Market Quality
papers.ssrn.com/sol3/papers.cf…
Currency Risk Premia Redux
papers.ssrn.com/sol3/papers.cf…
Shall the winning last? A Study of Recent Bubbles and Persistence
papers.ssrn.com/sol3/papers.cf…
Diversifying Diversification: Downside Risk Management with Portfolios of Insurance Securities
papers.ssrn.com/sol3/papers.cf…
Maximum Likelihood Estimation of the Equity Premium
papers.ssrn.com/sol3/papers.cf…

Reports of Value’s Death May Be Greatly Exaggerated (Research Affiliates)
papers.ssrn.com/sol3/papers.cf…
Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting
papers.ssrn.com/sol3/papers.cf…

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More from @ReformedTrader

Darren 🥚🐣🕊️ Profile picture
Apr 25
1/ Moneyball: The Art of Winning an Unfair Game (Michael Lewis)

"Baseball was at the center of a story about the possibilities—and limits—of reason. It showed how an unscientific culture responds (or fails to respond) to the scientific method." (p. xiv)

amazon.com/Moneyball-Art-…Image
2/ "A small group of undervalued professional players & executives, many of whom had been rejected as unfit for the big leagues, turned themselves into one of the most successful franchises.

"How did one of the poorest teams, the Oakland Athletics, win so many games?" (p. xi)
3/ "Hitting statistics were abundant & had, for James, the powers of language. They were, in his Teutonic coinage, 'imagenumbers.' Literary material. When you read them, they called to mind pictures. He wrote... 'To get 191 hits in a season demands (or seems to) a consistency...
Read 6 tweets
Darren 🥚🐣🕊️ Profile picture
Feb 4
New papers: February 2025
(I haven't read these, but the abstracts look interesting.)

Does Trend-Following Still Work on Stocks?
papers.ssrn.com/sol3/papers.cf…

Application of the Kelly Criterion to Prediction Markets
semanticscholar.org/paper/Applicat…

Jan 2025 edition:
x.com/ReformedTrader…
December Effect in Option Returns
papers.ssrn.com/sol3/papers.cf…

Unintended Consequences of Rebalancing
papers.ssrn.com/sol3/papers.cf…

Speculate against Speculative Demand
semanticscholar.org/paper/Speculat…

Seasonality Patterns in the Crisis Hedge Portfolios (Quantpedia)
quantpedia.com/seasonality-pa…
Bank Fragility After Mergers
papers.ssrn.com/sol3/papers.cf…

Mutual Fund Investors and the Economic Cost of Seeking Alpha
papers.ssrn.com/sol3/papers.cf…

Stock split signaling: Evidence from short interest
papers.ssrn.com/sol3/papers.cf…
Read 15 tweets
Darren 🥚🐣🕊️ Profile picture
May 18, 2024
1/ Skewness and kurtosis

* Everything has excess kurtosis
* Unlike market returns, individual stocks aren't negatively skewed
* Option prices underestimate kurtosis and overestimate negative skewness
* Implied moments don't consistently predict stock returns
* Sell options?? Image
2/ Asset classes have fat tails, and most have negative skewness.

Kurtosis & expected returns


Kurtosis-Based vs Volatility-Based Asset Allocation


Impact of Skewness and Fat Tails on Asset Allocation

.



Image
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3/ This has practical consequences, and it's a good idea to be prepared.

Give me a moment: Optimal leverage in the presence of volatility, skewness, and kurtosis


When Genius Failed: The Rise & Fall of Long-Term Capital Management


Image
Read 5 tweets
Darren 🥚🐣🕊️ Profile picture
Jan 1, 2024
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."


…

Image
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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]."


Image
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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
Image
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…
Image
2/ "The valuation gap between cheap and expensive stocks remains extremely wide. This signals the potential for attractive returns going forward."


Image
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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

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