Fall 2018

Ben Gum, AXA Rosenberg: A Deep Learning Investigation of One-Month Momentum

The one-month return reversal in equity prices was first documented by Jedadeesh (1990), who found that there was a highly significant negative serial correlation in the monthly return series of stocks. This is in contrast to the positive serial correlation of the annual stock returns. Explanations for this effect differ, but the general consensus has been that the trailing one-month return includes a component of overreaction by investors. Since 1990, the one-month return reversal effect has decayed substantially, which has led others to refine it. Asness,...

Montserrat Guillen, University of Barcelona: Is motor insurance ratemaking going to change with telematics and semi-autonomous vehicles?

Many automobile insurance companies offer the possibility to monitor driving habits and distance driven by means of telematics devices installed in the vehicles. This provides a novel source of data that can be analysed to calculate personalised tariffs. For instance, drivers who accumulate a lot of miles should be charged more for their insurance coverage than those who make little use of their car. However, it can also be argued that drivers with more miles have better driving skills than those who hardly use their vehicle, meaning that the price per mile should decrease with distance...