Research and Insights
Articles by Nicolas Meng
Research Insight - Introducing the Seasonality Factor - March 2014Research Report | Mar 12, 2014 |
This Research Insight, second in a series, introduces the Seasonality factor in our equity models; this factor was identified as part of MSCI's Systematic Equity Strategies (SES) research program. Seasonal behavior of stock returns is widely discussed in finance literature. The most prominent is the "January Effect," where prices tend to rise during January after stock sell-offs in December. In this paper, we examine how the SES Seasonality factor identifies seasonal pricing patterns for US...
Research Insight - Introducing the Prospect Factor - December 2013Research Report | Dec 5, 2013 |
In this Research Insight, we introduce the Prospect factor. Systematic implementation of Prospect theory may be thought of as a contrarian investment strategy that takes long positions in stocks with poor historical performance and short positions in stocks with historical good performance. We find that the Prospect factor is significant in explaining risk and return characteristics of Japanese and US securities. The Prospect factor was identified as part of our Systematic Equity Strategies...
Model Insight - The Barra US Small Cap Equity Model Empirical Notes - December 2013Research Report | Dec 4, 2013 |
This Model Insight provides empirical results for the new Barra US Small Cap Model, including detailed information on the structure, the performance, and the explanatory power of the factors. Furthermore, these notes also include backtesting results and a thorough side-by-side comparison of the forecasting accuracy of the new model and its predecessor.
Systematic Equity Strategies: A Test Case Using Empirical Results from the Japan Equity MarketResearch Report | Jun 19, 2013 |
In an introductory paper, we explained Systematic Equity Strategies (SES) and how they can be used as factors in a risk model. In this paper, we use data from the Japan equity markets to define seven new SES factors and study their empirical behavior. Our findings illustrate the important role that these factors play in portfolio construction and risk management. Our study also shows problems associated with omitting these factors from a risk model, and explain why models that...
Model Insight - Barra Japan Equity Model (JPE4) Empirical Notes - October 2013Research Report | Jun 18, 2013 |
This Model Insight provides empirical results for the new Barra Japan Equity Model (JPE4), including detailed information on the structure, the performance, and the explanatory power of the factors. Furthermore, these notes also include backtesting results and a thorough side-by-side comparison of the forecasting accuracy of the JPE4 Model and the JPE3 Model, its predecessor.