Alpha Research - Gyan's Research Wiki

Page 1 of 6

Gyan's Research Wiki

Links

Create account or Sign in contact Search this site Search

Research Site members Recent changes List all pages Page Tags Site Manager

Alpha Research
GTAA
Multi-Asset Class

Page tags
alpha

Add a new page

new page
edit this panel

(PDF) Predictable Components of lnternational Returns by CFA Institute (amazingly). (PDF) Value and Momentum Everywhere by Cliff Asness, et al. (PDF) Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes by David Blitz And Pim Van Vliet. (PDF) The Predictive Ability of the Bond-Stock Earnings Yield Differential Model by Klaus Berge, Giorgio Consigli, William T. Ziemba. (PDF) The Determinants of Stock and Bond Return Comovements by Geert Bekaert et al.

Global Equities (Countries)

(PDF) Parallels Between the Cross-sectional Predictability of Stock and Country Returns by Cliff Asness, John Liew, and Ross Stevens. (PDF) Testing international asset pricing models using implied costs of capital by Bhaskaran Swaminathan, et al. (PDF) What Factors Drive Global Stock Returns? by Kewei Hou, Andrew Karolyi, Bong Chan Kho (PDF) Expected Returns and Volatility in 135 Countries by Campbell Harvey, et al. (PDF) Demographics and International Investment by Campbell Harvey, et al. (PDF) Determinants of Stock Prices: New International Evidence by Gabe J. de Bondt. (PDF) Global Value Investing Delivers Diversification: A MultiStrategy Perspective by Edward Qian; Eric H. Sorensen; Ronald Hua (PDF) Cross-Industry, Cross-Country Allocation by Stefano Cavaglia, Vadim Moroz. (PDF) Residual Income Approach to Equity Country Selection by Stephanie Desrosiers, Natacha Lemaire, and Jean-Frangois L'Her (PDF} Global Momentum Strategies by John M. Griffin, Xiuqingji, and J. Spencer Martin.

Global Bonds

(PDF) Opportunities in Global Bonds: Some insight into First Quadrant's Global Bond Model. (PDF) Country Size, Currency Unions, and International Asset Returns by Tarek A. Hassan. (PDF) The Influence of Political, Economic and Financial Risk on Expected Fixed Income Returns by Campbell Harvey, et al. (PDF) Bond Risk Premia by John H. Cochrane, Monika Piazzesi. (PDF) The Relation between Stock Prices and Inflationary Expectations: The International Evidence by Bruno Solnick (PDF) Do Macro Variables, Asset Markets, or Surveys Forecast Inflation Better? by Andrew Ang, et al. (PDF) Efficient Prediction of Excess Returns by the Fed. (PDF) Decomposing the Yield Curve by John Cochrane, Monika

http://gyanresearch.wikidot.com/alpha

9/10/2012

Alpha Research - Gyan's Research Wiki

Page 2 of 6

site-name

Piazzesi. .wikidot.com

(PDF) A Factor Analysis of Bond Risk Premia by Sydney C. Ludvigson, Serena Ng. (PDF) Bond Supply and Excess Bond Returns by Robin Greenwood and Dimitri Vayanos (PDF) Yield Spreads and Interest Rate Movements: A Bird's Eye View by John Y. Campbell and Robert J. Shiller

Share on

Edit History Tags Source Join this site

Explore

FX

(PDF) Do Momentum Based Strategies Still Work In Foreign Currency Markets? by John Okunev and Derek White (PDF) Momentum Investing and Business Cycle Risk: Evidence From Pole To Pole by John Griffin et al. (PDF) Common Risk Factors in Currency Markets and Data Appendix : Carry trade. (PDF) Futures trading activity and predictable foreign exchange market movements: Using trading activity to extract alpha signals. (PDF) Forecasting foreign exchange rates using idiosyncratic volatility by Hui Guo and Robert Savickas (PPT) Citi: Developing a (kinda manufactured IR) FX Model: by Jessica James (PDF) Carry Trades and Currency Crashes by Lasse H. Pedersen, Stefan Nagel, and Markus K. Brunnermeier. (PDF) The Returns to Following Currency Forecasts by John Okunev, et al.

Commodities Alpha

(PDF) The Fundamentals of Commodity Futures Returns by Gary Gorton, Fumio Hayashi, et al. (PDF) The Tactical and Strategic Value of Commodity Futures

Hedge Fund Selection Alpha

(PDF) Do Hedge Funds Deliver Alpha? A Bayesian and Boostrap Analysis by Robert Kosowski, Melvyn Teo, et al.

Flows/Risk Appetite/Style Rotation

I seperate this section because it has particular appeal to me.

(PDF) Caught On Tape: Predicting Institutional Ownership with Order Flow by John Campbell, Tarun Ramadorai, et al.

Flows/Sentiment
FX

(PDF) Currency Returns, Institutional Investor Flows and Exchange Rate Fundamentals by Froot and Ramadorai

Equity

(PDF) Caught On Tape: Institutional Order Flow and Stock Returns by John Campbell, et al. (PDF) Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements by John Campbell, et al. (PDF) Investor Sentiment and the Cross-Section of Stock Returns by Malcolm Baker and Jeffrey Wurgler (PDF) Sentiment Beta by Denys Glushkov

http://gyanresearch.wikidot.com/alpha

9/10/2012

Alpha Research - Gyan's Research Wiki

Page 3 of 6

site-name

.wikidot.com

Share on Risk Appetite

Edit History Tags Source Join this site

Explore

Commodities

(PDF) Risk Appetite and Commodity Returns by Erkko Etula

FX

(PDF) Risk Appetite and Exchange Rates by Etula, et al.

Style Rotation
Equities

(PDF) Style Investing, Comovement and Return Predictability by Sunil Wahaz, Denis Wahuz

Mutual Fund Flows

(PDF) Dumb Money: Mutual Fund Flows and The Cross-Section of Stock Returns by Andrea Frazzini and Owen Lamont

Ken Froot has done a lot of style rotation work. I'm skeptical about how it translates into GTAA, based on a Summer's worth of work (excluding the strongest defined stylesie. value/momentum in equities, carry in FX which I would like to test seperately in the future.)

(PDF) Style Effects in the Cross-section of Stock Returns by Melvyn Teo Sung-Jun Woo. (PDF) Equity Style Returns and Institutional Investor Flows by Melvyn Teo, Ken Froot. (PDF) Style momentum within the S&P-500 index by Hsiu-Lang Chen and Werner De Bondt. (PDF) Timing Small versus Large Stocks by Jean-Francois L'Her, Tammam Mouakhar, Mathieu Roberge. (PDF) Style Management in Equity Country Allocation by JeanFrancois L'Her, et al. (PDF) When do Value Stocks Outperform Growth Stocks? Investor Sentiment and Equity Style Rotation Strategies by Yul W. Lee, Zhiyi Song. (PDF) Style Timing in Emerging Markets by Jean-Francois L'Her, et al. (PDF) Style Rotation Strategies: Issues of Implementation by Mario Levis, Nicholas Tessaromatis. (PDF) Is the Value Premium Predictable in Real Time? by Rob Bauer. (PDF) Equity Style Timing Using Support Vector Regressions (PDF) Forecasting Factor Returns: An Intriguing Possibility by Robert Arnott, Charles Kelso, Stephan Kiscadden, Rosemary Macedo. (PDF) Equity Style Timing: A Multi-Style Rotation Model for the Russell Large-Cap and Small-Cap Growth and Value Style Indexes (PDF) Investing in Size and Book-to-market Portfolios Using Information About the Macroeconomy: Some New Trading Rules by Michael J. Cooper, Huseyin Gulen, and Maria Vassalou

Equity Alpha
The big guy in this field back in the day was Richard Sloan, who now works at BGI. Just by the number of references below, one begins to understand why BGI has a pretty good hold on Equity Market Neutral. A useful data source for introductory study is Ken French's website. One should note that some variants of value (industry neutral value, etc.) haven't underperformed as dramatically as pure value which by definition loads up

http://gyanresearch.wikidot.com/alpha

9/10/2012

Alpha Research - Gyan's Research Wiki

Page 4 of 6

site-name

on industries likeShare on banks which have Edit History Tags Source Explore lower P/E ratiosthisgeneral. Join in site .wikidot.com

Stock Selection Alpha

(PDF) Durability of Output and Expected Stock Returns by Leonid Kogan et al: Durable goods portfolios outperform for systematic risk reasons. (PDF) Asset-Intensity and the Cross-Section of Stock Returns by Raife Giovinazzo: Asset intense portfolios under perform asset light portfolios (an interesting contrast to the prior article.) Durable goods are compensated for as a risk, but asset intensity isn't? (PDF) Separating Media Exposure from News Content Effects on Stocks by Asaf Manela: Media exposure during a positive event increases the initial reaction to the event. (PDF) Earnings Surprises, Growth Expectations, and Stock Returns: Don't Let an Earnings Torpedo Sink Your Portfolio by Richard Sloan, et al. (PDF) Predicting Material Accounting Misstatements by Richard G. Sloan, et al. (PDF) External Financing and Future Stock Returns by Richard G. Sloan et al. (PDF) Earnings Quality and Financial Reporting Credibility: An Empirical Investigation by Richard Sloan, et al. (PDF) Individual Investor Trading and Return Patterns around Earnings Announcements by Ron Kaniel, Shuming Liu, Gideon Saar, and Sheridan Titman: Standard earnings announcement literature. (PDF) Investment Plans and Stock Returns by Owen A. Lamont: Capex is negatively correlated with contemporaneous stock returns. (PDF) Separating Winners from Losers among Low Book-to-Market Stocks using Financial Statement Analysis by Partha Mohanram: Growth stock selection? (PDF) Short Interests, Fundamental Analysis, and Stock Returns by Richard Sloan, et al. (HTML) Beta Arbitrage as an Alpha Opportunity by Arrowstreet Capital. (PDF) The Investment Value of Mutual Fund Portfolio Disclosure: Good mutual funds add alpha, so if we follow their holdings (especially in aggregate) we make money. Not a flows story. (PDF) Liquidity Risk and Expected Stock Returns by Rob Stambough and Lubos Pastor. FMI: Stambough's liquidity factor is on CRSP. (PDF) Disposition Matters: Volume, Volatility, and Price Impact of a Behavioral Bias by William N. Goetzmann, Massimo Massa. (PDF) Sin Stock Returns by Frank J. Fabozzi; K.C. Ma; Becky J. Oliphant (PDF) The Presidential Term by Scott B. Beyer; Gerald R. Jensen; Robert R. Johnson. (PDF) Are Cover Stories Effective Contrarian Indicators? by Tom Arnold, John H. Earl, Jr., and David S. North (PDF) Firm Characteristics, Industry and Time Effects, and the CrossSection of Expected Stock Returns (PDF) Interaction of Stock Return Momentum with Earnings Measures by Illya Figerman. (PDF) Deviations from Put-Call Parity and Stock Return Predictability by Martijn Cremers

EM Equities

(PDF) The Cross-Sectional Determinants of Emerging Equity Market Returns by Geert Bekaert, Campbell Harvey, et al. (PDF) Liquidity and Expected Returns: Lessons from Emerging Markets by Geert Bekaert, Campbell Harvey, et al.

Vol

(PDF) High Idiosyncratic Volatility and Low Returns: International

http://gyanresearch.wikidot.com/alpha

9/10/2012

Alpha Research - Gyan's Research Wiki

Page 5 of 6

site-name

and Edit History et this site Join al. Share Evidence by Andrew Ang, Tags Source .wikidot.com Further U.S.on

Explore

Accruals

(PDF) Accrual Reliability, Earnings Persistence and Stock Prices by Richard G. Sloan, et al. (PDF) Information in Accruals About the Quality of Earnings by Richard G. Sloan, et al.

Industry Rotation

(PDF) Cross-Industry Momentum by Lior Menzly and Oguzhan Ozbas. (PDF) Generating Excess Returns through Global Industry Rotation by John Okunev.

Optimization/Transaction Cost Alpha

Can portfolio construction a la Markowitz add alpha? I'm skeptical, given research at JP Morgan that the value of alpha is greater than the value of intuitive tilts. Still, important issues in this field include optimization with transaction costs (Hayne Leland for continuous time, others for discrete), Bayesian shrinkage (Jorian estimators) in returns, Markowitz optimization vs. full-scale or sampling based optimizations.

Forecasting/Construction

(PDF) Portfolio Construction Through Mixed-Integer Programming at Grantham, Mayo, Van Otterloo and Company by Dimitris Bertsimas, Christopher Darnell, Robert Soucy. (PDF) Return Forecasts and Optimal Portfolio Construction: A Quantile Regression Approach by Larry Pohlman, et al. (PDF) Information Horizon, Portfolio Turnover, and Optimal Alpha Models by Edward Qian; Eric H. Sorensen; Ronald Hua. (PDF) On the Fundamental Law of Active Portfolio Management: What Happens If Our Estimates Are Wrong? by Guofu Zhou (PDF) Dynamic Trading with Predictable Returns and Transaction Costs - Nicolae Garleanu, Lasse Pedersen

High Frequency Volatility

(PDF) High Frequency Multiplicative Component GARCH by Robert Engle et al (PDF) High Frequency Microstructure Noise by Jialin Yu, etc.

Black-Litterman

(PDF) The BlackLitterman Model for Active Portfolio Management by ALEXANDRE S. DA SILVA, WAI LEE, AND BOBBY PORNROJNANGKOOL

Hedge Fund Replication

(PDF) Can Hedge-Fund Returns Be Replicated?: The Linear Case by Andrew Lo.

Page tags: alpha

page revision: 244, last edited: Wednesday, December 16, 2009 3:34:51 PM

Edit

Tags

History

Files

Print

Site tools

+ Options

Powered by Wikidot.com

Help | Terms of Service | Privacy | Report a bug | Flag as objectionable

http://gyanresearch.wikidot.com/alpha

9/10/2012

Alpha Research - Gyan's Research Wiki

Page 6 of 6

Edit History Tags Source Explore Join this site site-name Share on .wikidot.com Unless otherwise stated, the content of this page is licensed under Creative Commons Attribution-ShareAlike 3.0 License

Other interesting sites

wikidot-experiments
test site

Great Dane 28 owners' club

Enchanted Bros wiki

Thain Public Wikia Source

http://gyanresearch.wikidot.com/alpha

9/10/2012