Ivy Tower Investing Report Week of July 1, 2012
Top investing research for the week of July 1, 2012
- Adding Value to Value: Is There a Value Premium Among Large Stocks: Researchers propose a long-short strategy that smokes Fama French models and returns 87 bps/month (0.87%) by focusing on earnings.
- The VIX Futures Basis: Evidence and Trading Strategies: The study is an introduction to the VIX and a profitable long-short strategy.
- The People in Your Neighborhood: Social Interactions and Mutual Fund Portfolio Choices: Social connections between fund managers increases similarity in their holdings and trades.