August Newsletter
Keep up to date on the latest CQA news.
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We're all set for our September Chicago meeting and we have lined up another great program of speakers and topics. This year we are trying something new and moving the conference to the Intercontinental Hotel. We will hold the Tuesday night reception at the same location as last year, the Pimco Room on the 4th floor of the Gleacher Center. The room has a terrific view of the city and river and an outside veranda. The Tuesday night reception will be held from 7:00 until 9:00 pm.
See the links below if you'd like to get a preview of the papers to be presented in the Academic Review Session. Thanks again to everyone who participated in the selection process. The three papers will be presented on Thursday afternoon at the Chicago conference.
Dan Cardell
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Join us in Chicago on September 11-12 for the CQA Fall 2024 Conference. This year’s event will be held at the InterContinental Hotel in downtown Chicago. The Tuesday night reception will be held at the Gleacher Center’s PIMCO Midway Club from 7:00 to 9:00 PM. Be sure to register by the August 30th deadline to secure your spot. Click below to download this year’s agenda and explore the exciting lineup of speakers.
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The official hotel for the conference is the InterContinental Chicago, and the last day to reserve a hotel room at the group rate of $349 per night is August 20th. To make your reservation, please use this link or call 312-321-8895 and use the code KFR.
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Itzhak Ben-David
Ohio State
“Competition for Attention in the ETF Space”
Tarek Eldin
PEO Partners
“The Residual Drag – Why the Residual in Return Attributions Tends to be Negative and What to Do About It?”
Estelle Inack
yiyaniQ
“Exploration of Quantum+AI Advantage in Portfolio Optimization”
Larry Siegel
Vintage Quants, LLC
“Fewer, Richer, Greener: Prospects for Humanity in an Age of Abundance”
Jeff Meli
Barclays Investment Bank
“Portfolio Trading in Corporate Bond Markets”
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Andrew Weisman
Windham Capital Management
“Market Experts vs Expert Markets”
Rodney Sullivan
University of Virginia
“Global Macro and Managed Futures Hedge Fund Strategies: Portfolio Differentiators?”
Benjamin Hood
Parametric Portfolio Associates
“Volatility Targeting is Trendy: How Trend Following Explains Alpha in Volatility-Managed Strategies”
Petter Kolm
New York University
“Deep Learning of Alpha Term Structures from the Order Book”
Larry Kotlikoff
Boston University
“Social Security Horror Stories - Protect Yourself from the System and Avoid Clawbacks”
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Academic Competition Finalists
Click below to download papers.
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 Laurence B. Siegel will be speaking at this year's Chicago conference. Larry is the Gary P. Brinson Director of Research at CFA Institute Research Foundation and an independent consultant. He has authored, edited, or co-edited six CFA Institute Research Foundation monographs as well as the book Fewer, Richer, Greener. Siegel serves on the editorial boards of several prominent journals and on the board of directors of the Q Group and the American Business History Center. He has assisted a variety of nonprofit organizations in the role of investment committee chair or member. Previously, Siegel was director of research in the Investment Division of the Ford Foundation. Before that, he served as a managing director at Ibbotson Associates (now Morningstar). Siegel received a BA in urban geography and an MBA in finance from the University of Chicago.
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We would like to once again thank everyone who participated in the academic review session. This month, we are excited to feature the papers ranked 4 through 10, each of which demonstrated outstanding research and originality. We encourage you to explore these impressive contributions.
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“Which Investors Drive Anomaly Returns and How?”
This study reveals that small noninstitutional investors, despite holding a smaller share of anomaly portfolios, account for the majority of the variation in anomaly returns. It challenges flow-based explanations by showing that both stock fundamentals and non-fundamental demand equally drive anomalies across different investor types.
Read
"Moving Targets"
This previously featured study employs natural language processing on earnings conference call transcripts from U.S. corporations, uncovering how managers selectively adjust targets to meet predetermined goals. If you are interested in seeing this paper presented, consider attending the Jacobs Levy conference at UPenn.
Read
“Distortion in Financial Narratives: A ChatGPT Approach”
Kuntara Pukthuanthong, who presented at last year's Fall Conference, investigates how financial news is distorted as it spreads across different outlets, using ChatGPT-4 to quantify changes in the narrative. She finds that retold articles tend to become more opinionated and negative, leading to a pessimistic public perception, which negatively predicts abnormal returns and increases disagreement among traders.
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"Unusual Financial Communication - Evidence from ChatGPT, Earnings Calls, and the Stock Market"
These researchers introduce a strategy using ChatGPT to identify and analyze unusual aspects of financial communication during earnings calls of S&P 500 firms. The study finds that a significant portion of these calls display unusual communication, which correlates with firm characteristics and business cycles, and leads to negative stock market reactions with increased trading activity, especially when multiple unusual dimensions are detected.
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"News-based Investor Disagreement and Stock Returns"
This paper quantifies investor disagreement surrounding corporate news announcements using intraday volume-volatility elasticity, finding that higher disagreement negatively predicts cross-sectional stock returns. The study provides empirical evidence that this disagreement-stock return relationship is particularly strong when optimism outweighs uncertainty.
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"Crowding by index-benchmarked mutual funds and the low-volatility anomaly"
This study finds that stock-level crowding by S&P 500-benchmarked mutual funds contributes to the low-volatility anomaly in stock prices. The informational networks among these mutual funds lead to high alpha and low volatility in commonly held stocks, driven by increased demand and information sharing within the network.
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"Market Concentration, Capital Misallocation, and Asset Pricing"
The paper examines how capital misallocation between superstar and non-superstar firms affects asset prices, finding that these misallocation shocks are linked to lower economic growth and negatively impact stock returns.
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Member Spotlight
In this article, CQA member Tom Philips shares his 10-year S&P 500 return estimate, introduces a low-cost, universal portfolio, and discusses his shift to an asset/liability/surplus approach. His insights, replicable using the R package PCRA, offer value to CIOs, asset allocators, and individual investors.
Read
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CQA Fall Conference
Chicago, IL - September 11-12
InterContinental Hotel
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Inquire-Europe Autumn Seminar
Valencia, Spain - October 8-6
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