1. How to Read a Legal Opinion: A Guide for New Law Students by Orin S. Kerr (University of Southern California Gould School of Law)
Like a lot of papers with tons of downloads, this paper has an audience outside academic specialists. It’s a paper for new law students on how to prepare to start law school. With around 40,000 new law students entering law schools every fall, it draws a lot of downloads every August. I’ve been told that a lot of law schools assign it as part of the first week of reading, too. Either way, it is by far my most read article. Go figure. – Orin S. Kerr
2. Give Credit Where Credit is Due: What Explains Corporate Bond Returns? by Roni Israelov (AQR Capital Management, LLC)
3. CEO Emotions and Underpricing in Initial Coin Offerings by Paul P. Momtaz (University of California, Los Angeles (UCLA))
4. Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits by Wouter J. Keller (VU University Amsterdam) and Jan Willem Keuning (TrendXplorer)
Since the financial crisis of 2008 and the recent (end of 2015) pull
back, investors are searching for less risky investments. Therefore,
there is a growing demand for low risk / absolute return portfolios.
In this paper we describe a simple dual-momentum model (called
Protective Asset Allocation or PAA) with a vigorous “crash protection”
which might fit this bill. It is a tactical variation on the
traditional 60/40 stock/bond portfolio where the optimal stock/bond
mix is determined by multi-market breadth using dual momentum.
We backtested the model with several global multi-asset ETF-proxies.
Starting from Dec 1970 allows us to investigate the behavior of PAA in
periods with rate hikes as well. The in-sample (Dec 1970 – Dec 1992)
and out-of-sample returns of the most protective variant of our PAA
strategy satisfy our absolute return requirement without compromising
high returns. This makes PAA an appealing alternative for a 1-year
term deposit. – Wouter J. Keller and Jan Willem Keuning