July 8, 2024 - Equity Premium, Volatility Effects
Does the S&P 500 Index (SPX) or the CBOE Volatility Index (VIX) yield better short-term trading signals for stocks and VIX futures? In the May 2024 revision of his paper entitled “Chicken and Egg: Should you use the VIX to time the SPX? Or use the SPX to time the VIX?”, Robert Hanna explores mutual… Keep Reading
February 25, 2005 - Short Selling
…underperformance of high short interest stocks may be limited to those with high levels of informed (non-arbitrage, non-noise) trading.
November 24, 2020 - Short Selling
Do stocks with high borrowing costs reliably underperform? In their October 2020 paper entitled “The Loan Fee Anomaly: A Short Seller’s Best Ideas”, Joseph Engelberg, Richard Evans, Gregory Leonard, Adam Reed and Matthew Ringgenberg examine equity loan fees (stock borrowing costs) as a predictor of stock returns. For perspective, they compare returns of their loan… Keep Reading
February 1, 2005 - Big Ideas, Bonds, Currency Trading, Equity Premium
…21st-century investors should curb their exuberance.
April 2, 2012 - Momentum Investing
Do “new” momentum stocks outperform “old” ones? In the March 2012 version of their paper entitled “Limited Attention, Salience, and Stock Returns” [apparently removed from SSRN, casting doubt on findings], Avanidhar Subrahmanyam, Jason Wei and Hsin-Yi Yu analyze whether stocks newly entering and exiting extreme momentum deciles exhibit unusual future returns because of heightened investor attention. Their benchmark (6-6) strategy… Keep Reading
May 30, 2007 - Volatility Effects
…stock betas change over time, and strategies that track these changes with high-frequency data can generate abnormal returns. Stocks with long-term high (low) but recently decreasing (increasing) betas are buys (sells).
March 27, 2010 - Individual Gurus - Guru Accuracy: 43%
A reader suggested that we evaluate the market commentary of Martin Goldberg, as available via the Financial Sense archive for September 2003 through June 2010 and currently via Financial Sense. Martin Goldberg “is a Chartered Market Technician who manages money privately.” He sometimes notes that “when you identify a hot guru, it pays to follow… Keep Reading
March 27, 2010 - Individual Gurus - Guru Accuracy: 55%
As suggested by a reader, we evaluate here forecasts for the overall U.S. stock market from the commentaries of Carl Swenlin since January 2006. Carl Swenlin “is a self-taught technical analyst, who has been involved in market analysis since 1981. A pioneer in the creation of online technical resources, he is president and founder of… Keep Reading
April 15, 2010 - Individual Gurus - Guru Accuracy: 32%
As requested by a reader, we evaluate here Steven Jon Kaplan’s commentary at True Contrarian since May 2002 (the earliest listed before a 5/22/11 reset that discarded posts prior to 5/18/11). Steven Jon Kaplan states that “each issue will feature my intermediate-term financial outlook, my long-term financial outlook.” The table below quotes forecast highlights from the… Keep Reading
April 5, 2019 - Momentum Investing
Do assets other than individual stocks exhibit a short-term (1-month) reversal effect? In their February 2019 paper entitled “Short-Term Momentum (Almost) Everywhere”, Adam Zaremba, Andreas Karathanasopoulos and Huaigang Long investigate short-term return predictability within long run global samples spanning five asset classes: equity indexes, government bonds, treasury bills, commodity futures and currencies. Each month they… Keep Reading