‘Sell in May and Go Away’: Mostly a Myth, but Not Entirely
February 6, 2017
The 24th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management.
May 25, 2016
The Truth Behind the ‘Presidential Cycle’ for Stocks - Year 2 of a term is supposed to be bad for investors, but a study casts doubt on that
November 6, 2017
QWAFAFEW: Terry Marsh, CEO, Quantal talks about Segmentation, Liquidity, and Risk Returns Premiums.
May 26, 2016
The talk is to be based on a forthcoming JPM article Smart Betas, Alpha Signals and Factor Model Alignment with Paul Pfleiderer. In the paper the authors consider the case for augmenting risk models to be used in portfolio construction to reflect information embedded in the portfolio manager’s alphas. “Smart beta” models and cases where alpha signals are partly factor-driven but incorrectly perceived to be stock-specific, are considered. Follow-up research on extensions of the segmentation model calibrated in the article will be discussed.