Relative Value Strategies for Equities

Download PDF Introduction Relative Value strategies in equities are all those strategies that seek to minimize their systematic risk exposures while retaining exposure to certain idiosyncratic factors. We decided to analyze those strategies because their non-directional nature can be interesting in the current environment characterized by high geopolitical tensions and Read more…

The Overnight Puzzle

Download PDF Over the last few decades, the overnight and intraday returns of the American market exhibit strange behavior, considering that the highest share of returns accrue in the after-hours trading and not during the day, as most would have expected. Indeed, a good visualization of the phenomenon is shown Read more…

The Econometrics of Tech Stocks

Download PDF Introduction We are now over a year and a half into the Covid pandemic. Disruptive as this exogenous shock has been, markets have quickly recovered, and proceeded to reach one new record after the other. More interestingly, several information technology stocks have stood the challenge without a bruise. Read more…

The Game Theory of GameStop

Download PDF Introduction From reputable Wall Street bankers and hedge fund managers to the average Joe, everyone heard of GameStop over the last weeks. How did this unprecedented phenomenon start? What cause stands at its root? How will this story affect trading and modify its rules? This article explores all Read more…

Is time up for Universal Banks? Deutsche Bank – Postbank case

Introduction As the financial system stabilises after the recent crisis, three distinct business models are emerging. First, focused retail institutions with a specific offering of products and services, such as American regional banks and Europe’s savings banks. Second, investment banks which also operate asset management businesses and private equity investments. Read more…