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Current research updates

Academic research is constantly providing new insights. The variety of studies makes it difficult to keep track. As a result, we would like to periodically point out new research papers that we consider particularly relevant to understanding the financial markets and understanding Finreon's solutions.
 

31.12.2018

  • Factor strategies and transaction costs
  • Conflicts of interest of bank-affiliated funds
  • Anomalies and company news
  • Investment, momentum and reversal
  • Market efficiency and industry clusters
  • Drivers of high valuations
  • Quality controls resurrect the size effect
  • The popularity of minimum volatility strategies
  • Popularity as return driver
  • Social media and equity prices
  • Idiosyncratic volatility, quality and returns

Read more …

30.11.2018

  • Twitter based mood as return driver
  • Sentiment, uncertainty and expected returns
  • Optimized rebalancing of multi asset portfolios
  • Labor supply and demographics
  • Hedging of risk factors
  • Survivorship bias in peer group comparisons

Read more …

31.10.2018

  • Risk neutral return distributions and crash risks of currency options
  • A network approach explaining the connections between asset prices
  • A critical evaluation of top-down multi factor approaches
  • Demographic shift and inflation
  • The value of volatility management
  • Currency curvature as improvement of the currency carry strategy
  • The dynamics of the value factor
  • The role of design decisions in factor investing
  • Profitability shocks and the size effect
  • Latent factors in the equity market
  • Mispricing and the lottery effect

Read more …

28.09.2018

  • A decomposition of the value premium
  • Differences between time series and cross sectional strategies
  • Systemic risk from short volatility strategies
  • The roll yield
  • Uncertainty of beta estimates
  • The integration of ESG in the portfolio construction
  • The Fama & French 5-factor-model
  • Innovative originality as valuable ressource

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31.08.2018

  • Equity financing risk
  • The financial intermediation premium
  • Reversals of Alphas
  • An evaluation of factor timing
  • Misvaluation as explanation of the profitability factor
  • The non-linear influence of characteristics on equity returns
  • The cyclically adjusted price-earnings-ratio
  • ESG as a measure of risk
  • Political risk and equity tail risk
  • CO2 emissions as proxy for productivity
  • The value of customer evaluations
  • Yield chasing in corporate bonds

Read more …

31.07.2018

  • Factor premia in fixed income
  • A comparison of two types of multi factor investing
  • Factor timing skills of portfolio managers
  • Smart beta ETFs and fund flows
  • Post publication decline of anomalies
  • How do mispricing alphas disappear?
  • Improving the Shiller P/E for forecasting equity returns
  • Interest rate risk as an explanation for the low volatility anomaly
  • Sustainability and mispricing
  • Effects of increased benchmarking
  • Payment cycles and market liquidity
  • Dynamic factor investing
  • Global Market Inefficiencies

Read more …

29.06.2018

  • Combining the Black-Litterman-Approach with predictive regressions
  • An ultra-long-term perspective on return predictability
  • Macroeconomic determinants of stock market betas
  • Momentum in the predictive ability of return forecasts
  • The interaction of short term reversal and momentum
  • Value Timing

Read more …

31.05.2018

  • Return of equity strategies throughout the trading day
  • New approaches for hedging equity risk
  • Factor premia and the yield curve
  • Properties of factor premia across multiple asset classes
  • Fresh Momentum
  • Earnings forecasts add less and less value
  • Crash Sensitivity as explanation for the momentum premium
  • Idiosyncratic momentum pays off globally
  • Residual Momentum in Japan
  • The lottery effect as an explanation of the beta anomaly
  • The excess return of equities and bonds is not guaranteed

Read more …

30.04.2018

  • Low correlation as an explanation for smart beta returns
  • Non-linear covariance shrinkage
  • An optimized value approach
  • Over-diversification across asset managers
  • A security selection strategy for US government bonds
  • Forecasting tail risk
  • Time variation of credit risk premia
  • Anomalies cannot be explained by short selling restrictions
  • The impact of characteristics on equity returns
  • Market influence through large transactions
  • The impact of ETFs on capital markets

Read more …

31.03.2018

  • An explanation for momentum and reversal
  • Momentum spillover from equities to corporate bonds
  • Idiosyncratic momentum
  • Efficient smart-beta strategies
  • Alternative weighting schemes for bonds
  • Tail risk hedging strategies
  • Negative bubbles
  • Value and momentum on an asset class level
  • Worthless companies

Read more …

28.02.2018

  • A long-term analysis of trend following strategies
  • Construction of multi-factor portfolios
  • How to measure trends?
  • The links between momentum and reversal
  • Hierarchical risk parity as new weighting scheme
  • De facto seniority of corporate bonds
  • The influence of hormones on financial risk-taking
  • Modelling skewed distributions

Read more …

31.01.2018

  • Instable results in academic research papers
  • The carry premium in a multi asset context
  • Long-term reversal as a global factor
  • Tail risk sensitivity of individual stocks
  • Estimating time-varying factor exposures
  • The influence of bubble risks on asset prices
  • Estimating expected returns based on a large number of firm characteristics
  • Risk-adjustment of time series momentum
  • Replication of anomalies
  • Momentum in company fundamentals
  • Short-term underreaction of equity markets
  • Trends over different time horizons

Read more …

31.12.2017

  • Do equities outperform government bonds?
  • The effect of creative destruction on asset prices
  • Longterm reversal in industry performances
  • An explanation for the outperformance of sin stocks
  • Downside risk as driver of the equity risk premium
  • The effect of accruals on equity returns
  • Using a network approach for portfolio optimization
  • Speculative overpricing of high beta assets
  • Valuation as an approach to factor timing

Read more …