Quantocracy’s Daily Wrap for 03/15/2019

This is a summary of links featured on Quantocracy on Friday, 03/15/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Day of the week and the cross-section of returns [Eran Raviv]

    I just finished reading an interesting paper by Justin Birru titled: Day of the week and the cross-section of returns (reference below). The story is much too simple to be true, but it looks to be so. In fact, I would probably altogether skip it without the highly ranked Journal of Financial Economics stamp of approval. However, by the end of the paper I was as convinced as one can be
  • The Bearish Aftermath Of Quad Witching [Quantifiable Edges]

    A Twitter follower ( @SonnyRico ) asked me about weeks following Quad-witching, which occurs in March, June, September, and December. As I have shown in the past, the 2nd half of December has shown bullish tendencies historically (ignore 2018), but those other 3 have NOT been good weeks for the market. In fact, back in September I discussed the Weakest Week, which is the week after September
  • Research Review | 15 March 2019 | Nowcasting [Capital Spectator]

    Factor Timing Revisited: Alternative Risk Premia Allocation Based on Nowcasting and Valuation Signals Olivier Blin (Unigestion), et al. 10 September 2018 Alternative risk premia are encountering growing interest from investors. The vast majority of the academic literature has been focusing on describing the alternative risk premia (typically, momentum, carry and value strategies) individually. In
  • Factor Investing from Concept to Implementation [Alpha Architect]

    There is a substantial debate on the topic of factor investing and whether or not the backtested excess returns are actually achievable in practice. Much of the research on the topic suggests that practitioners in the field are unable to capture any of the so-called factor premiums. For example, the debate is covered here, here, and here. Turns out there is another literature that

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