Volume 18, No. 1, 2020 Martin L. Leibowitz, Stanley Kogelman, and Anthony Bova In this paper, time paths of P/Es are projected, by applying a theoretical model in which the totality of “fully anticipated” future “franchise” investments serve as the source of higher P/Es. At the outset, the P/E path slowly ascends until the first… Read more
First Quarter (2020)
Practitioner’s Digest
Volume 18, No. 1, 2020 View PDF… Read more
Book Review: Nonlinear Time Series Analysis by Ruey S. Tsay and Rong Chen (Reviewed by Alireza Yazdani)
Volume 18, No. 1, 2020 Ruey S. Tsay and Rong Chen (Reviewed by Alireza Yazdani) View PDF… Read more
Case Study: Fair and Responsible Drug Pricing: A Case Study of Radius Health and Abaloparatide
Volume 18, No. 1, 2020 Qingyang Xu and Andrew W. Lo View PDF… Read more
Time-Series Variation in Factor Premia: The Influence of the Business Cycle
Volume 18, No. 1, 2020 Christopher Polk, Mo Haghbin and Alessio de Longis Factor cyclicality can be understood in the context of factor sensitivity to aggregate cash-flow news. Factors exhibit different sensitivities to macroeconomic risk, and this heterogeneity can be exploited to motivate dynamic rotation strategies among established factors: size, value, quality, low volatility and momentum… Read more
Trends Everywhere
Volume 18, No. 1, 2020 Abhilash Babu, Ari Levine, Yao Hua Ooi, Lasse Heje Pedersen and Erik Stamelos We provide new out-of-sample evidence on trend-following investing by studying its performance for 82 securities not previously examined and 16 long–short equity factors. Specifically, we study the performance of time series momentum for emerging market equity index futures… Read more
Timing is not Everything—Assessing Manager Skill in Factor Timing
Volume 18, No. 1, 2020 Andrew Chin and Piyush Gupta We introduce an innovative framework to assess the contribution and persistence of factor timing within US large-cap equity funds. After decomposing active returns into three components—strategic factor contribution, tactical factor contribution and security selection—we find that they are all significant but security selection is the dominant contributor… Read more
Do High-Frequency Traders Improve Your Implementation Shortfall?
Volume 18, No. 1, 2020 Robert A. Korajczyk and Dermot Murphy We take advantage of a regulatory change that effectively imposed a “tax” on HFT order activity on Canadian equity venues to study the resulting effect on the execution costs of large institutional trades.We find that bid–ask spreads increase and price impact decreases for these trades… Read more