Posts Tagged ‘Equity



27
May
10

Paper: Style Momentum

Cross-Asset Style Momentum

Abstract:
This paper reports significant momentum profits among style portfolios of multiple asset classes. Previous studies have demonstrated style momentum within equity markets. The findings of this paper reveal that style momentum is not merely an equity market phenomenon, but a cross-asset phenomenon. This paper also presents a new assessment of alternative theories of momentum. Using the framework previously established by Lewellen (2002), the results of this paper show that cross-asset style momentum profits are consistent with the underreaction hypothesis, but not with the excess comovement theory of Lewellen (2002) or the style investing theory of Barberis and Shleifer (2003).

Link al Paper

04
Dec
09

Impacto de las tasas

La siguiente cita pertenece a un post de Trader´s Narrative -realizado por Wayne Whaley- sobre el impacto de las tasas de interes sobre  los precios futuros del equity:

This concept is based on the generally accepted principle that interest bearing securities are the primary source of competition for equity investment dollars. Higher expected returns for one investment, reduces the appeal of its primary alternative. Also, the cost of borrowing money has an influence on the expense of doing business for many companies, such as banks and utilities. The expectation of any changes in future earnings is a primary driving force in determining the appeal of equities.

In theory, this accepted relationship would always hold true, if all other market forces were held constant. But since rate changes can be symptomatic of other underlying factors that impact the direction of equity earnings, it begs the question, “When does the basic interest rate to equity relationship not apply?” And in regard to the current market, “What should one expect for the equity markets when rates begin to rise from the current extremely low levels?”

Link a la nota.




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