Does a strategy of combining monthly individual stock return reversal with monthly industry momentum enhance results compared to the separate strategies. In their August 2011 paper entitled “One-month Individual Stock Return Reversals and Industry Return...
Is fine wine a good investment? Two recent studies are on the case. In their February 2010 paper entitled “Raise your Glass: Wine Investment and the Financial Crisis”, Philippe Masset and Jean-Philippe Weisskopf examine the...
Analyses such as those described in “Demographic Headwind for U.S. Stock Market?” and “Classic Research: Demography and the Stock Market” assess the impact of demographic changes on the stock market by focusing on market valuation...
Will disinvestment of the baby boom generation retard U.S. equities? In their August 2011 letter entitled “Boomer Retirement: Headwinds for U.S. Equity Markets?”, flagged by a reader, Zheng Liu and Mark Spiegel revisit the relationship...
Are financial market returns from extreme outlier days mostly good or bad for investors? Is the occurrence of such days usefully predictable? In his August 2011 paper entitled “Where the Black Swans Hide & The 10 Best...
As described in “Monthly Stock Return Reversal Update”, evidence for a conventional monthly stock return reversal effect since 1990 is weak. Is there a way to enhance the effect? In their August 2011 paper entitled “Short-Term...
When do simple moving averages (SMA) serve as useful trading rules? Do they exploit some hidden pattern in asset price behavior? In their July 2011 paper entitled “The Trend is not Your Friend! Why Empirical...
Is the monthly stock return reversal effect currently exploitable? In the August 2011 version of their paper entitled “New Evidence on Short-Term Reversals in Monthly Stock Returns: Overreaction or Illiquidity?”, Chris Stivers and Licheng Sun investigate...
Has the strong appreciation of gold since 2001 produced a price bubble? In their March 2011 paper entitled “Is There a Speculative Bubble in the Price of Gold?”, Jedrzej Bialkowski, Martin Bohl, Patrick Stephan and...
What is fair value for gold, which has no earnings and pays no dividend? In their 2005 paper entitled “The Price of Gold: A Global Required Yield Theory”, Christophe Faugere and Julian Van Erlach present...
Should investors with different horizons prefer different styles (large versus small capitalization and value versus growth)? In their 2010 paper entitled “Time, Risk and Investment Styles”, Zugang Liu and Jia Wang investigate how equity investment style...
Do international (seaborne) shipping rates offer advance information about stock market behavior? In the July 2011 draft of their paper entitled “Stock Market Returns and Shipping Freight Market Information: Yet Another Puzzle!”, Amir Alizadeh and...
What happens to the S&P 500 Implied Volatility Index (VIX) after days when it changes dramatically? To ensure that a trader could have identified the days selected in real time and to accommodate volatility regime...
Can investors apply forensic accounting principles (searching for inconsistencies, irregularities and other signs of trouble) to help forecast stock returns? In their July 2011 paper entitled “To Catch a Thief: Can Forensic Accounting Help Predict Stock Returns?”, Messod Beneish,...
What approaches to global diversification work best? In their July 2011 paper entitled “What Matters in International Equity Diversification? “, Chun-hung Chen, Tom Goodwin, and Wenling Lin use mean-variance spanning and optimization tests of indexes to...
As suggested by a reader, we evaluate here the public stock market forecasts of Peter Eliades since late 2002. Evaluated predictions/recommendations come indirectly via MarketWatch columns, which have reported his commentary sporadically in recent years. Peter...
Many studies rely on the first moment (mean) of historical asset return distributions and/or the second moment (variance or standard deviation) to predict future returns. Are the third (skewness, indicating left-right tail asymmetry) and fourth...
A reader commented and asked: “One of the most read investing books in the U.S. is Joel Greenblatt’s The Little Book that Beats the Market, which reveals the ‘magic formula’. What do you think of...
...while mid-single digits may be a reasonable rough estimate for the equity risk premium, there is not a generally accepted value for it or method of estimating it.
“With Thomson Reuters News Analytics, computers can not only read the news – they can interpret it too. The results can enhance your investment and trading strategies, helping you to spot new opportunities and generate...
“Overview of Financial Market Regime Change” states that researchers often use return volatility to discriminate financial market regimes (intervals of persistent behavior). Investors often use some variation of simple moving average (SMA) crossovers to determine...
Financial markets sometimes switch states (regimes), with key investment decision statistics (such as average return and volatility of returns) shifting dramatically for extended intervals. A simple example of financial market regimes is the designation of...
A reader inquired about the complex strategy for trading stock index proxies and futures described in the March 2010 paper “MR Swing: A quantitative System for Mean‐reversion and Swing Trading in Market Regimes” by David Abrams and Scott Walker. This strategy posits...
Do individual experts whose U.S. stock market forecasting records are good (bad) gain (lose) attention? The “pro” argument is that investors (and online intermediaries) eventually flock to good forecasters and ignore bad ones in search...
Does the Chicago Board Options Exchange Market Volatility Index (VIX), a measure of investor expectations for stock market volatility (and arguably of current level of fearfulness), exploitably predict stock market direction? In their April 2007 paper...