{"title":"Integrated stock–bond portfolio management","authors":"Xiaochuan Pang, Shuping Wu, Shushang Zhu","doi":"10.21314/jois.2023.007","DOIUrl":"https://doi.org/10.21314/jois.2023.007","url":null,"abstract":"This paper proposes a stock–bond portfolio selection model that naturally integrates market risk and credit risk via the principles of CreditMetrics. Conditional value-at-risk is adopted as the risk measure for portfolio selection since bond returns are usually skewed. Both simulations and backtestings show that conditional value-at-risk is an appropriate risk measure for stock–bond portfolio selection and that by providing more flexible and stable investment opportunities the integrated portfolio outperforms the portfolios that consider stocks and/or bonds separately.","PeriodicalId":268451,"journal":{"name":"The Journal of Investment Strategies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135450476","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"What have we learned from 20 million historical US stock data?","authors":"Mostafa K. Ardakani","doi":"10.21314/jois.2023.006","DOIUrl":"https://doi.org/10.21314/jois.2023.006","url":null,"abstract":"This study aims to statistically characterize the US stock market from January 3, 1995 to June 11, 2021. The literature is primarily based on either limited data or certain major indexes such as the Standard & Poor’s 500, Nasdaq or Dow Jones. Our analyses use around 20 million end-of-day data points for 9701 stocks traded in the United States. Specifically, we investigate calendar and correlation effects on stock returns. Our aim is to provide practical analyses of the US stock market as well as investment strategies for traders and investors. This paper answers a series of questions, such as: which months or days of the week have led to the worst/best returns and what their monthly/daily volatility looks like; whether the stock market’s behavior has changed over the years due to the popularity of exchange-traded funds and, if so, what the implications are; statistically the best day on which to buy or sell if someone wishes to hold stock for four days; whether it is true that day trading is not advantageous and, if so, why; and finally, what the historical returns for the daily, weekly and monthly trades were.","PeriodicalId":268451,"journal":{"name":"The Journal of Investment Strategies","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136203447","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"An empirical study of the contrarian strategy against US equities in the Japanese market","authors":"Yasuhiro Iwanaga","doi":"10.21314/jois.2023.004","DOIUrl":"https://doi.org/10.21314/jois.2023.004","url":null,"abstract":"This study examines the contrarian strategy against US equities. We observe a reversal effect against US equities: for samples in which the previous day’s daily return on the S&P 500 index is positive (negative), the following day’s intraday returns on Japanese stock-index futures are negative (positive).We analyze the returns unique to Japan during overnight hours, which we refer to as abnormal after-hours returns. We confirm that samples with positive (negative) abnormal after-hours returns exhibit positive (negative) intraday returns. We divide the sample into cases in which the US and Japanese stock markets have the same investment environment and those in which it differs, and we observe a reversal effect against US equities only in the latter case. We use an out-of-sample analysis to verify the performance of the contrarian strategy against US equities coupled with abnormal after-hours return information, and we find this combination performs better than employing the contrarian strategy against US equities on its own.","PeriodicalId":268451,"journal":{"name":"The Journal of Investment Strategies","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136207843","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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