From T-Bills to Stocks: Seasonal Anomalies Revisited

This paper employed eleven data series which consist of stocks, bonds, bills, equity premiums, term premiums, and various default premiums to investigate whether January seasonality reported in existing literature is robust across different states of the economy as this has important trading implications. For the periods 1926–1990, small stocks, small stock premiums, low grade bonds, and default premiums (spread between high grade, low grade and government bonds) reveal January seasonality and that the seasonality is robust across different states of the economy except for low grade bond returns and default premiums. January seasonality for low grade bond returns and low grade bond default premiums are primarily driven by results found during periods of economic expansion. Overall, January seasonality is more evident during the economic expansion periods although the magnitude of default premiums is larger during periods of economic contraction. Furthermore, prior findings of strong summer equity returns are primarily driven by the results found during the periods of economic contraction. It is also found that equity returns are generally higher during periods of economic expansion.     

How about selling commodity futures losers?

This paper explores the benefits of extending the investment universe to commodity futures, from the perspective of momentum traders. We find that the growth-optimal portfolio includes negative (positive) weights on commodity futures losers (stock winners). Motivated by this finding, we construct a joint momentum strategy, buying stock winners and selling commodity futures losers, and show that it generates an average monthly return of up to 1.91% and provides much lower skewness (0.04) and kurtosis (1.27) than a traditional stock momentum strategy. It also greatly improves profitability, especially in unfavorable market states, and thus effectively manages tail risk.     

The long-run reversal in the long run: Insights from two centuries of international equity returns

We perform the most comprehensive test of long-term reversal in national equity indices ever done. Having examined data from 71 countries for the years 1830 through 2019, we demonstrate a strong reversal pattern: the past long-term return negatively predicts future performance. The phenomenon is not subsumed by other established cross-sectional return patterns, including the value effect. The long-term reversal is robust to many considerations but highly unstable through time. Finally, our findings support the overreaction explanation of this anomaly.     

El efecto fin de mes en los principales mercados accionarios latinoamericanos

In equity markets, it is common to find calendar anomalies, which have been the subject of several studies in recent decades, even some of them showing that over time these anomalies have disappeared. In this context, this paper analyzes one of these anomalies, the end-of-the-month effect, in both return and volatility in six Latin American stock markets, namely Brazil, Mexico, Chile, Colombia, Peru and Argentina during the period of 1993-2011. The importance of the evidence for the existence of this anomaly is to allow testing whether the effect has been disappearing over time. The findings of this research show the existence of positive abnormal returns and abnormal volatilities on days associated with the change of months for most of the countries under analysis. This research was performed according to three different periods defined in the literature to analyze the impact of the end-of-the-month effect. This research not only examines the key indexes of each market, but also the individual stocks of each, giving a much larger and demanding sample, which can lead to better conclusions about the existence of the phenomenon. Also, the transaction volume analysis is included to validate some hypotheses related with the high cash flow in the turn-of-month period.     

On Monetary Policy and Stock Market Anomalies

This study utilizes a macro‐based VAR framework to investigate whether stock portfolios formed on the basis of their value, size and past performance characteristics are affected in a different manner by unexpected US monetary policy actions during the period 1967–2007. Full sample results show that value, small capitalization and past loser stocks are more exposed to monetary policy shocks compared with growth, big capitalization and past winner stocks. Sub‐sample analysis, motivated by variation in the realized premia and parameter instability, reveals that the impact of monetary policy shocks on these portfolios is significant and pronounced only during the pre‐1983 period.     

现代资产定价理论的研究和发展 ——基于有效市场假说和资产定价模型的视角

围绕对有效市场假说的联合检验假设难题、资本资产定价模型的检验、"贝塔通缉令""因子动物园""多因素模型大战"等重点和核心话题,对现代资产定价理论文献的研究脉络进行梳理和评述,在此基础上对未来资产定价的研究重点和方向提出建议.     

证券市场异象的行为金融学探讨及对我国的启示

自 2 0世纪 80年代以来证券市场涌现了许多与有效市场理论相悖的市场异象 ,而利用最近兴起的行为金融学则可通过心理学与人类行为学等研究对这些市场异象作出与以往不同的新角度的探讨。且这对于在我国这一并不完全理性市场中的机构投资者有一定的投资策略启示。     

吐鲁番旅游收入本底趋势线的建立——基于近十二年的数据

以吐鲁番旅游总收入数据为代表,借助旅游本底趋势线的研究方法和关于危机评估的理论,从修订数据、模型建立、数据分析、危机评估、结论等方面对吐鲁番旅游收入进行了研究;通过模型的建立,可以发现吐鲁番旅游业呈现指数—正弦线模型状况,根据模型预测出吐鲁番旅游收入的未来趋势出现稳定增长的趋势;进行危机评估可以了解重大事件对吐鲁番旅游收入的影响,得出结论并提出改进策略,促进吐鲁番地区旅游业的发展。     

Robust anomalies? A close look at accrual‐based trading strategy returns

The last 40 years have seen an extensive literature documenting so‐called anomalies in major capital markets. Evidence of ‘abnormal’ returns associated with trading strategies based on readily observable phenomena such as accounting‐based data involves experimental design choices that can be expected to influence the results. We show how evidence of an accrual anomaly in Australia is sensitive to research design specifications such as the choice of proxy for total accruals; the definition of abnormal returns (i.e. the return generating model); the impact of data trimming as a response to exceptionally large returns; and the choice between value and equal weighting of returns. We show that research design choices do matter and help reconcile conflicting prior evidence of any accrual anomaly in Australia. More broadly, our results suggest the need for caution in drawing inferences from trading strategy tests which claim to identify anomalies.     

Sentiment-scaled CAPM and market mispricing

This study explores the conditional version of the capital asset pricing model on sentiment to provide a behavioural intuition behind the value premium and market mispricing. We find betas (β) and the market risk premium to vary over time across different sentiment indices and portfolios. More importantly, the state β derived from this sentiment-scaled model provides a behavioural explanation of the value premium and a set of anomalies driven by mispricing. Different from the static β–return relation that gives a flat security market line, we document upward security market lines when plotting portfolio returns against their state βs and portfolios with higher state βs earn higher returns.