Vol. 16, No. 2, 2018 Seoyoung Kim, Atulya Sarin and Daljeet Virdi With the recent surge in crypto-activity, a natural question arises as to what exactly a “cryptocurrency” is and how to value and assess these digital assets. In this paper, we provide an overview of the history and technology underlying cryptocurrencies. We also present… Read more
Second Quarter (2018)
Book Review – A Practitioner’s Guide to Asset Allocation
Vol. 16, No. 2, , 2018 By William Kinlaw, Mark P. Kritzman and David Turkington, reviewed by Sharon Hill View PDF… Read more
The Dirty Dozen of Valuation Ratios: Is One Better Than Another?
Vol. 16, No. 2, 2018 Eero Pätäri, Ville Karell, Pasi Luukka and Julian Scott Yeomans This paper compares the efficacy of both traditional valuation ratios and an extensive set of related combination criteria in identifying the future best-performing stocks for a comprehensive U.S. sample over the period 1971–2013. Value portfolios formed on different criteria have… Read more
Evaluation and Ranking of Market Forecasters
Vol. 16, No. 2, 2018 David H. Bailey, Jonathan M. Borwein, Amir Salehipour and Marcos López de Prado Many investors rely on market experts and forecasters when making investment decisions, such as when to buy or sell securities. Ranking and grading market forecasters provides investors with metrics on which they may choose forecasters with the… Read more
Common Factors in Corporate Bond Returns
Vol. 16, No. 2, 2018 Ronen Israel, Diogo Palhares and Scott Richardson We find that four well-known characteristics (carry, defensive, momentum, and value) explain a significant portion of the cross-sectional variation in corporate bond excess returns. These characteristics have positive risk-adjusted expected returns and are not subsumed by traditional market premia or respective equity anomalies… Read more
Insights – Complete and Incomplete FinTech Platforms
Vol. 16, No. 2, 2018 Vasant Dhar and Roger M. Stein A major consequence of the Internet era is the emergence of complex “platforms” that combine technology and process in new ways that often disrupt existing industry structures and blur industry boundaries. These platforms allow easy participation that often strengthens and extends network effects, while… Read more