Download PDF Introduction Momentum has long proven to be a reliable and empirically supported factor in equity strategies across developed markets (DM). Seminal work by Jegadeesh and Titman (1993) found that stocks with strong past returns over a 3–12 month period tend to continue outperforming in the following months. Later, Read more…
Download PDF A Match made in Heaven In this article, we aim to integrate the momentum and carry factors to devise a strategy that enhances risk-adjusted returns. The underlying concept is straightforward. We seek to avoid positions with negative carry. Even with a momentum signal prompting us to go long Read more…
Download PDF Introduction There is empirical evidence that index options, especially puts, are overpriced relative to individual stock options. Dispersion trading is a strategy aimed to capitalize from this mispricing. The aim of this article is to explore whether dispersion trading can still generate positive returns, but to generate a Read more…
Whitbread plc (LON:WTB) – market cap as of 04/05/2018: £7.84bn Introduction Conflicts of interest between shareholders and managers represent an old phenomenon and an inherent element of capitalistic governance systems. It stems from the fact that managers tend to profit from simply because their companies are getting bigger (through higher Read more…
Total S.A. (EPA:FP) – market cap as of 27/04/2018: €138.0bn Direct Energie S.A. (EPA:DIREN) – market cap as of 27/04/2018: €1.90bn Introduction On April 18, 2018, French oil major Total S.A. announced the acquisition of 74.33% of Direct Energie’s share capital in a transaction valued at approximately €1.4bn. At a Read more…
Not long ago, two major oil-producing countries (Russia and Saudi Arabia) reached an agreement, according to which the stake of output of those countries was capped at January-2016 levels. The move was very unexpected, since no one had bet that the deal would be reached, thus oil prices went through Read more…
In the last two decades, advancements in information technology have contributed in the creation of virtual marketplaces where buyers and sellers are brought together through an electronic trading platform. Electronic trading is rapidly replacing human trading in global securities markets. Therefore, human best-execution practice has naturally evolved into automated execution Read more…
Can volatility indices provide useful signals on the “underlying” market? We tried to figure it out analysing some relations between the VIX and other indices provided by the Chicago Board Options Exchange. The VIX index, which is derived from prices of a basket of out-of-the-money options on the S&P500, represents Read more…
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…
Teva Pharmaceutical Industries ; Market Cap (as of 25/04/2015): $62,67bn Mylan Pharmaceuticals ; Market Cap (as of 25/04/2015): $36,06bn Introduction In the healthcare industry, the saying “eat or be eaten” no longer applies. Instead, the adage of “make a bid or wait for an offer” would be more appropriate Read more…
This week, we are proud to publish an in-deep analysis on the Italian Popolari banks situation, one of the most discussed topics since the announcement of the AQR done by the ECB. Thanks to the recent rumors of an Italian decree, which changes the voting powers’ structure of the above Read more…
HP; market cap (as of 10/10/2014): $62.52bn On October 6, 2014 the Hewlett-Packard Company (HP) released its plans to split by end of October 2015 into two potentially Fortune 50 companies: business-oriented HP Enterprise and personal systems-oriented HP Inc. The split is intended to be tax-free for the current shareholders Read more…