Academic Research Digest

- Citi Global Quantitative Research Conference — 16th/17th September, Barcelona. For more information, please see page 3 of this document, or contact the Citi Global Quant Team.
- What's New in Academic Research — In this issue of the Academic Research Digest, we discuss three articles on stock selection and one article with style rotation implications. We also highlight two articles that have recently been published, and cite five additional working papers that we believe are of interest.
- Measuring Expected Return in a Novel Non-Stats-Reliant Way — Return forecasting using a dynamic equity valuation model.
- Stronger Idiosyncratic Volatility Returns — The informational role of options in the context of the idiosyncratic volatility anomaly. The relation between informed option trading and stock/option mispricing is due to two combined effects: a selection effect; and a causality effect
- The More (often) the Merrier — Analysts who issue stock recommendations more frequently may bring more valuable and timely information to the market. Analysts who most frequently change their recommendations are the ones with the highest excess returns.
- Style-Returns in Different Sentiment and Macro Environment Regimes — What determines the strength of a market anomaly? Psychology vs. economic environment.


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