Research paper on investment

The Volatility Effect: Lower Risk Without Lower Return

The professors look for out of sample evidence for anomalous market behavior in the baseball card market. If mispricing is driven by human behavioral issues, we should see mispricing in all markets, not just financial markets. The authors confirm that the baseball card market suffers from many of the inefficiencies identified in financial markets.

The lessons for investors in the baseball card market are the same lessons they should have learned in the financial markets. Bottom line: Stick with winners i. In , momentum , as measured by the relative performance of the largest Momentum factor fund, the iShares Edge Momentum Factor fund ticker: MTUM , was clearly in favor.

But what happens to the abnormal profits of a strategy when there is more competition to exploit that specific strategy? Intuitively, more competition should decrease the abnormal profits of a strategy. But this question is actually more difficult to address than people think. Historically, researchers have focused on analyzing how much of the smart money is buying momentum stocks. But the results from these sorts of analysis are mixed.

The researchers in this paper, reframe the problem a bit and look at how many smart money investors are avoiding momentum stocks, which also reveals information, albeit in an indirect way. Using their clever approach, the authors confirm our intuition — more competition causes momentum profits to decay.

Orient Paper & Industries Ltd - Tactical Buy - Edelweiss Investment Research

And along the way, they identify a cleaner way in which investors can monitor competitive pressures, and thus predict future momentum profits. Bottom line: Monitor what the competition is doing when deciding whether or not to deploy capital into a strategy. You may avoid a crowded trade! Due to this information overload, financial technology companies have attempted to assist us in aggregating the information in order to make our processing of the information more efficient. In theory, aggregating data on equities should enable investors to more quickly understand all publicly available information about a stock.

The market should get more efficient, right? Not exactly: The aggregation of information can lead to some unintended consequences.

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The authors find that fintech can actually reduce market efficiency , by reducing the incentives for investors to identify original ideas, and by reducing the incentives of market participants to produce original financial information. But complacency kills. On net, you have no edge, and by relying exclusively on technology to make your investment decisions, you may be sweeping important details under the rug. This study looked at the results of individuals who post investment advice in an online forum, and how the individuals who followed that advice subsequently performed upon acting on the advice.

The authors found investors reading the comments in the forum are more affected by comments from those who appear to be more sophisticated, and from commenters that have done well recently i. Bottom line: Do your own research. In practice, there is.

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A fair amount has also been written on theories of investor motivations and beliefs. But the authors of this paper take a different tact: instead of pontificating about how investors think about the market, why not ask them directly? Upon doing so, the authors gleam some great insights about how investors actually think about markets. You are currently accessing Risk. If you already have an account please use the link below to sign in.

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In providing a balanced representation of academic, buy-side and sell-side research, the Journal promotes the cross-pollination of ideas amongst researchers and practitioners, achieving a unique nexus of academia and industry on one hand, and theoretical and applied models on the other. The Journal contains in-depth research papers as well as discussion articles on technical and market subjects, and aims to equip the global investment community with practical and cutting-edge research in order to understand and implement modern investment strategies.

With a focus on important contemporary investment strategies, techniques and management, the journal considers papers on the following areas:. This paper introduces a consistent performance strategy CPS , which, if followed, leads to a portfolio having consistently positive returns over time and exhibiting a steady upward trend.


This paper offers two composite bond market factor investment strategies each for the Swiss bond market and for the global sovereign bond market. In this paper, the authors examine if investors can profit from the underperformance of leveraged exchange-traded funds ETFs in long holding periods. In this paper, the authors present a multiperiod portfolio management strategy that can be used to directly manage the realized volatility over a long time horizon.

This paper is devoted to the question of optimal portfolio construction for equity factor investing. The authors discuss the question of multifactor portfolio construction and show that the simplistic approaches often used by practitioners tend to be….

This paper examines strategy performance from an investment practitioner perspective. This study investigates international stock index arbitrage opportunities between seven blue-chip indexes in Asian, European and US time zones over a twenty-year time horizon. In this paper, the authors discuss the various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk-adjusted returns and losses of trading strategy.

The aim of this paper is to create systematic trading strategies built around several financial crisis indicators, which are based on the spectral properties of market dynamics. In this paper, the authors combine several disparate avenues in the literature to create a novel, unified risk-based optimization framework.

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This paper considers the classical optimal investment allocation problem of Merton through the lens of some more modern approaches, such as the stochastic volatility and local volatility models. This paper demonstrates how to directly incorporate common value-investing idea into the portfolio optimization process.

This study reviews the various statistical methodologies that are in place to test multiple systematic trading strategies and implements these methodologies under simulation with known artificial trading rules in order to critically compare and evaluate…. In this paper, the authors analyze why the optimal portfolio of funds that investors may take under complete information and the actual structure of the mutual fund market differ. This paper deals with the unprecedented equity volatility in the second week of February The paper recaps the week, places the market movement in a historical context, discusses how some traders and funds were affected and offers a few guesses as….

This paper examines how the Kelly criterion can be implemented into a portfolio optimization model that combines risk and return into a single objective function using a risk parameter. In this paper, the authors introduce an approach to cluster asset classes by correlation distance and then outline how these results can be used to design portfolios that are optimal in a group risk parity GRP framework.

In this paper, the authors show that single-asset trend strategies have built-in convexity, provided their returns are aggregated over the right time scale, ie, that of the trend filter. In this paper, two new portfolio statistics are introduced: ENT, which measures trading speed, and ENTD, which measures trading diversity.

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Together with vectors representing major trading directions, these provide new insight into the intrinsic…. You need to sign in to use this feature. Risk management.

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