Investing Research Articles

Do Real Estate Investment Trusts (REIT) act effectively as a proxy for the real estate asset class? In their June 2011 paper entitled “REITs and Underlying Real Estate Markets: Is There a Link?”, Andrey Pavlov...

There is a decades-long stream of academic research on equity analysts as sophisticated users of financial data, focusing on the usefulness of sell-side analyst earnings forecasts and stock recommendations. What is the gist of this...

Do strategies modeled using major indexes translate cleanly to the exchange-traded funds (ETF) that track them? ETF returns may deviate from underlying index levels because: (1) ETFs incorporate trading frictions from rebalancing and management fees;...

Are there differences in implied volatilities (option pricing) between major indexes and the exchange-traded funds (ETF) that track them? In their 2011 paper entitled “The Implied Volatility of ETF and Index Options”, Stoyu Ivanov, Jeff...

Do active exchange-traded funds (ETF), which realistically incorporate management costs and trading frictions, offer value to investors? In his June 2011 paper entitled “Active ETFs and Their Performance vis-à-vis Passive ETFs, Mutual Funds and Hedge...

What does the body of academic research say about the stock trading behaviors and outcomes for individual investors? In their June 2011 paper entitled “The Behavior of Individual”, Brad Barber and Terrance Odean survey four...

A reader suggested Condor Options as a guru for review. To conduct a review, we evaluate the Condor Options Newsletter Performance table of iron condor trades (with a few hedging trades) available via the Condor...

Do stocks around the world tend to perform better around the time of annual earnings announcements by respective firms than during the rest of the year? In the June 2011 draft of their paper entitled...

Does the claim that “credit anticipates and equity confirms” support a trading strategy? In his June 2011 paper entitled “Credit-Informed Tactical Asset Allocation”, David Klein tests a stocks-cash allocation strategy that derives signals from relative...

Howard Marks introduces his 2011 book, The Most Important Thing: Uncommon Sense for the Thoughtful Investor, by stating: “…I have built this book around the idea of the most important things–each is a brick in...

As suggested by a reader, we evaluate here Gary Savage’s outlooks for the U.S. stock market since May 2007 as extracted from his current Smart Money Tracker blog (since March 2010) and its predecessor site....

“The Fourth Quadrant: No Realm for the Normal” summarizes Nassim Taleb’s description of the realm of the Black Swan, concluding that in this realm “normal” statistical metrics and associated risk management methods do not work...

Do equity markets respond predictably to the probability and fact of war? In their May 2011 paper entitled “The War Puzzle: Contradictory Effects of International Conflicts on Stock Markets”, Amelie Brune, Thorsten Hens, Marc Rieger...

Can speculators in agricultural commodity futures earn a reliable premium from those seeking to hedge agricultural industry risk? In other words, can traders systematically exploit a persistent backwardation of agricultural commodity futures contracts? In the...

Do gems offer good returns? How do the returns of these tangible assets compare with those of other asset classes? In the April 2011 version of their paper entitled “Hard Assets: The Returns on Rare...

How do the daily price statistics of commodities differ, and how do they compare with those for equities? In their May 2011 paper entitled “The Dynamics of Commodity Prices”, Chris Brooks and Marcel Prokopczuk examine...

Are there recognizable country and global financial cycles over the past half century? If so, what are their characteristics? In their April 2011 paper entitled “Financial Cycles: What? How? When?”, Stijn Claessens, Ayhan Kose and...

At the suggestion of a reader, we began tracking on 5/4/06 the intermediate-term stock market outlooks of Steve Todd. Steve Todd is founder of the Todd Market Forecast, which states: “For the years 2003, 2004...

Does construction of new tallest-in-the-world buildings indicate financial hubris and therefore pending equity market weakness? In the March 2011 version of his paper entitled “Tower Building and Stock Market Returns”, Gunter Löffler relates construction of...

Are some firms more at risk of creative destruction by new technologies? If so, does the market offer a premium to investors in such firms? In his March 2011 paper entitled “Creative Destruction and Asset...

Are value stocks priced low because the companies are in financial distress? In their May 2011 paper entitled “Is the Value Premium Really a Compensation for Distress Risk?”, Wilma de Groot and Joop Huij investigate...

Does the size effect vary in a predictable way? In the May 2011 version of his paper entitled “Explaining the Dynamics of the Size Premium”, Valeriy Zakamulin investigates relationships between eight market/economic variables and the...

How effective are tax-deferred savings in avoiding federal income taxes over a lifetime? In their May 2011 paper entitled “The Tax Benefit of Income Smoothing”, Kristian Rydqvist, Steven Schwartz and Joshua Spizman estimate the lifetime...

The typical long-term moving average used for technical analysis is 200 trading days. Do moving averages measured over even longer intervals have value? In the December 2010 version of their paper entitled “Technical Analysis with...

Are many mutual fund managers worldwide so fixated on benchmarks that they substantially emulate index funds, while charging shareholders “active” fees? In the April 2011 version of their paper entitled “The Mutual Fund Industry Worldwide:...