Does a simple model based on the gap between the stock market earnings yield and an inflation-adjusted Treasury yield usefully predict the equity risk premium (ERP)? In their June 2012 paper entitled “Equities (Still) for...
Is price-to-earnings ratio cyclically adjusted via a 10-year average (CAPE, or P/E10) a good predictor of future stock market performance? In his October 2012 paper entitled “The Enhanced Risk Premium Factor Model & Expected Returns”, Javier...
What is the aggregate posture of all investors or, said differently, the asset class allocation of the average investor? In their November 2012 paper entitled “Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011”, Ronald Doeswijk,...
Eric Singer, manager of the Congressional Effect Fund (CEFFX), introduces his 2012 book, Trade the Congressional Effect: How to Profit from Congress’s Impact on the Stock Market, by stating: “This book provides a new, empirically objective way...
Does the rapid appreciation in gold price over the past decade represent a price bubble? In the October 2012 draft of their paper entitled “A Gold Bubble?”, Dirk Baur and Kristoffer Glover test for bubbles in...
How can a risk parity allocation strategy, equally weighting portfolio components by expected risk contribution, not really spread risk? In their October 2012 paper entitled “The Risk in Risk Parity: A Factor Based Analysis of...
How can equity weighting strategies and their opposites both outperform the stock market? In the October 2012 version of their paper entitled “The Surprising ‘Alpha’ from Malkiel’s Monkey and Upside-down Strategies”, Rob Arnott, Jason Hsu, Vitali...
How can positions in emerging equity markets benefit investment portfolios? In their October 2012 paper entitled “How Large are the Benefits of Emerging Market Equities?”, Mitchell Conover, Gerald Jensen and Robert Johnson examine the returns...
Adam Grimes (Chief Investment Officer of Waverly Advisors) prefaces his 2012 book, The Art and Science of Technical Analysis: Market Structure, Price Action, and Trading Strategies, by stating: “This book…offers a comprehensive approach to the problems of...
Do allocations aimed at managing volatility beat simple equal weighting as applied to the cheapest third of 32 country stock markets based on 10-year cyclically adjusted price-to-earnings ratio (CAPE, or P/E10). In their October 2012 paper...
Do investors under stress herd, thereby driving return correlations upward? In their October 2012 paper entitled “Quantifying the Behavior of Stock Correlations Under Market Stress”, Tobias Preis, Dror Kenett, Eugene Stanley, Dirk Helbing and Eshel Ben-Jacob...
Do low-volatility stocks outperform high-volatility stocks around the globe? In their October 2012 paper entitled “Stock Return Volatility, Operating Performance and Stock Returns: International Evidence on Drivers of the ‘Low Volatility’ Anomaly”, Tanuj Dutt and Mark...
What is the most important aspect of long-term investing? In the July 2012 version of his paper entitled “Strategic Asset Allocation and Portfolio Performance”, Lujer Santacruz assesses the importance of strategic asset class allocation compared to other...
Does modeling gold price relationships with other variables based on entire distributions differ from that based only on distribution means? In their May 2012 paper entitled “Is Gold Overpriced?”, Lingjie Ma and George Patterson apply a...
Which equity markets worldwide offer the best reward-to-risk ratios? In their October 2012 paper entitled “Risk-Adjusted Performances of World Equity Indices”, Yigit Atilgan and Ozgur Demirtas investigate whether 52 developed and emerging market equity indexes...
How does the risk parity asset allocation strategy (equalizing the volatility contributions of portfolio components) fare in comparison to other commonly used strategies? In their March 2012 research note entitled “The Risk Parity Approach to Asset...
Which asset class best hedges inflation? In the September 2012 draft of his book chapter entitled “‘Real’ Assets”, Andrew Ang examines the behaviors of the following assets commonly thought to hold their value during times...
...limited evidence indicates that daily presidential election polling data have very little or no effect on returns for the broad stock market.
“Market Capitalization Concentration as Stock Market Predictor” summarizes research finding that the change in the level of concentration of total market capitalization in the largest firms may be a useful predictor of stock market returns. Does...
Do changes in total market capitalization shares of large-capitalization and small-capitalization stocks predict future equity returns? In their September 2012 paper entitled “Davids, Goliaths, and Business Cycles”, Jefferson Duarte and Nishad Kapadia investigate whether a predictor...
Does market-driven deviation of the price of an exchange-traded fund (ETF) from its net asset value (NAV) predict an exploitable future return? In the September 2012 draft of their paper entitled “Reading Tomorrow’s Newspaper: Predictability in ETF...
Is the outperformance of stocks during November-April compared to May-October pervasive worldwide and over time? In their October 2012 paper entitled “The Halloween Effect: Everywhere and All the Time”, Ben Jacobsen and Cherry Zhang test the “Halloween”...
How do specialized stock indexes relate to commonly used equity risk factors? In his February 2012 paper entitled “Evaluating Alternative Beta Strategies”, Xiaowei Kang examines risk exposures (betas), construction methodologies and historical performances of alternative stock...
What are the parameters of profitable stock pairs trading in European equity markets? In their June 2011 paper entitled “European Equity Pairs Trading: The Effect of Data Frequency on Risk and Return”, Michael Lucey and...
Are commodities effective diversifiers for stocks and bonds? In his September 2012 paper entitled “Commodity Investments: The Missing Piece of the Portfolio Puzzle?”, Xiaowei Kang examines the diversification properties of commodity indexes relative to stock and...