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Maslennikov, Sergey - 2015

We provide new compelling evidence that hedge funds possess investment skill. Using the longest-in-literature unbiased … all investment managers that must report to the SEC, except those that we identify as managers other than hedge funds … achieves both high sensitivity and specificity. We also find weaker yet significant evidence of investment skill in standard …

Persistent link: https://www.econbiz.de/10013031527

The Trend is Our Friend : Risk Parity, Momentum and Trend Following in Global Asset Allocation

Clare, Andrew D. - 2013

We examine the effectiveness of applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. The application of trend following offers a substantial improvement in risk-adjusted performance compared to traditional buy-and-hold...

Persistent link: https://www.econbiz.de/10013081969

Biased Shorts : Stock Market Implications of Short Sellers’ Disposition Effect

von Beschwitz, Bastian - 2013

We investigate whether short sellers are subject to the disposition effect using a novel dataset that allows to identify the weekly closing of short positions. Consistent with the disposition effect, the closing of short sale positions is strongly related to a proxy of Shortsale Capital Gains...

Persistent link: https://www.econbiz.de/10013073546

Momentum and reversal in financial markets with persistent heterogeneity

Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2018

This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their...

Persistent link: https://www.econbiz.de/10011790528

High-Frequency Trading Strategies

Goldstein, Michael A. - 2020

We examine the effect of high frequency trading on market quality from theperspective of a limit order trader. By competing with slower limit order traders, highfrequency traders (HFT) impose a welfare externality by crowding out slower non-HFTlimit orders. The order book imbalance immediately...

Persistent link: https://www.econbiz.de/10012854269

Long-short speculator sentiment in agricultural commodity markets

Borgards, Oliver; Czudaj, Robert - 2022

This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on … the complexity of the long-short speculators' investment strategies …

Persistent link: https://www.econbiz.de/10012818066

Short-Selling Constraints and ‘Quantitative’ Investment Strategies

Andrikopoulos, Panagiotis - 2014

profitability of eight investment strategies. Returns from unconstrained long-short portfolios are compared with those from …-exploiting quantitative investment strategies in the UK stock market …

Persistent link: https://www.econbiz.de/10013044640

Trading Death : The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios

Sutcliffe, Charles M. S. - 2013

for the annuity puzzle, arbitrage between the annuity and life insurance markets, and speculation on expected longevity …

Persistent link: https://www.econbiz.de/10013072726

Trading Death : The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios

Sutcliffe, Charles M. S. - 2013

for the annuity puzzle, arbitrage between the annuity and life insurance markets, and speculation on expected longevity …

Persistent link: https://www.econbiz.de/10013079573

Human vs. machine: disposition effect among algorithmic and human day traders

Liaudinskas, Karolis - 2022

This paper studies whether and why algorithmic traders exhibit one of the most broadlydocumented behavioral puzzles - the disposition effect. We use trade data from the NASDAQ Copenhagen Stock Exchange merged with the weather data. We find that on average, the disposition effect for human...

Persistent link: https://www.econbiz.de/10013207355