Content of Current Issue   September 2010

SPECIAL FOCUS
What Volatility Tells Us About Options
Two recent studies provide novel findings on how volatility in the option markets can translate into successful trading strategies. The first is based on the “favorite bias” effect; the second focuses on the slope of volatility smiles.
  
RESEARCH HIGHLIGHTS
Investing Like Warren Buffett
A recent article shows how a portfolio that mimics Warren Buffett’s holdings after his investment decisions are made public can generate an abnormal return of more than 6% per year.
  
Excess Returns Following Stock Repurchases
When trading on repurchase announcements, investors should be aware of the main flaws of such strategies. Novel findings show that the frequency and actual repurchase of shares are crucial. A strategy that takes these issues into account can achieve outperformance of 18% over three years.
  
ACADEMIC DIGEST
On Ratings Changes and Ratings Levels
Although they are often biased, analysts’ stock recommendations can enhance investment returns. A strategy that can distinguish ratings changes from rating levels yields an average excess return of close to 14% per year.
  
Understanding the Value Premium Puzzle
New evidences show that the value premium puzzle is due to a relative mispricing of undervalued stocks. A strategy that combines these findings with the new issue puzzle can generate an average return of 9.4% per year.
  
The Performance of Commodity Trading Advisors
Commodity trading advisors have received significant attention in recent years, but not every category has managed to generate positive abnormal returns. Find out which one produced an alpha of 20.6% per annum over a 13-year period.
  
How Best to Measure Liquidity in Commodities
Measuring liquidity has become crucial, especially during the current crisis. Much research has been done on stock and bond markets, but nothing has yet been done on commodities. Two recent articles fill this gap.
  

EVERY ISSUE INCLUDES THE FOLLOWING BENEFITS:
   
  A monthly review of more than 70 top journals  in finance
  
  A special focus on today’s hottest themes in financial research
  
  An analysis of the most recent findings in investment strategies
  
  A digest of the latest innovations in asset management
  
  Simplified investment tips to optimize asset allocations
  
  Critical comments  with a concise summary of related works
  
  A free and direct access to 20 additional working papers
  
  Hyperlinks to the published versions of all cited references

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