January 9, 2014 - Fundamental Valuation
Are “quality” country stock markets good places to invest? In his December 2013 paper entitled “Quality Investing and the Cross-Section of Country Returns”, Adam Zaremba investigates whether aggregate financial quality determines country stock market performance. Specifically, he uses two-month lagged 12-month data for listed firms to calculate the following eight quality metrics at the country… Keep Reading
October 31, 2013 - Equity Options, Volatility Effects
Is there exploitable feedback between stock returns and behaviors of associated options due to concentration of informed traders in one market or the other? In the October 2013 version of their paper entitled “The Joint Cross Section of Stocks and Options”, Byeong-Je An, Andrew Ang, Turan Baliand and Nusret Cakici investigate lead-lag relationships between stock… Keep Reading
September 23, 2013 - Individual Investing
Which individual stock pickers beat the market? In their September 2013 paper entitled “The Information Content of Investors’ Expectations for Risk and Return”, Thomas Berry and Keith Jacks Gamble examine the performance of the most recent stock picks of members of the American Association of Individual Investors (AAII) who participated in an online survey. They… Keep Reading
July 25, 2013 - Momentum Investing
Are winning (losing) stocks with the strongest upward (downward) acceleration the best bets for a momentum strategy? In their July 2013 paper entitled “Investor Attention, Visual Price Pattern, and Momentum Investing”, Li-Wen Chen and Hsin-Yi Yu investigate whether visually striking patterns of past prices tend to grab investor attention, induce overreaction and amplify the momentum… Keep Reading
April 16, 2021 - Miscellaneous
Below is a weekly summary of our research findings for 4/12/21 through 4/16/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.