Investing Research Articles

A reader asked: “Do you have any research on the phenomenon of ‘pinning’ during options expiration? The theory is that there is a Max Pain price where options sellers stand to lose the least, and...

Do emerging markets exchange-traded funds (ETF) reliably track and on average achieve the returns of benchmark indexes? In their February 2011 paper entitled “Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds”, David Blitz...

Can financial statement analysis expose stocks that investors incorrectly view as value or growth (glamor)? In their February 2011 paper entitled “Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach”, Joseph Piotroski and Eric...

...evidence from simple tests on recent data offers little support for belief in day-of-the-week anomalies in broad stock market returns.

Does combining avoidance of fat tail losses with a traditional portfolio optimization strategy enhance performance? In her January 2011 paper entitled “The Economic Value of Controlling for Large Losses in Portfolio Selection”, Alexandra Dias investigates...

Are January returns important to the profitability of short-term reversal, intermediate-term momentum, long-term reversion and 12-month echo trading strategies? In her December 2010 paper entitled “Momentum, Seasonality and January”, Yaqiong Yao investigates the role of ...

Can investors straightforwardly diversify equity portfolios with volatility futures? In the January 2011 draft of their paper entitled “The Hazards of Volatility Diversification”, Carol Alexander and Dimitris Korovilas explore the potential benefits and costs of...

Does the concept of an idealized fixed business cycle help predict stock market returns? In his recent paper entitled “Forecasting 2011 Using U.S. Precedents: A Simple Analysis of Equity Market Performance”, Thomas Hall examines the...

Do mutual fund investors in aggregate exhibit good, bad or indifferent market timing? In their January 2011 article entitled “Past Performance is Indicative of Future Beliefs”, Philip Maymin and Gregg Fisher investigate how the aggregated...

Are there stock/firm characteristics that usefully predict which stocks will exhibit extreme returns? In their January 2011 paper entitled “Predicting Extreme Returns and Portfolio Management Implications”, Kevin Krieger, Andy Fodor, Nathan Mauck and Greg Stevenson...

What approach to diversifying equity holdings across industries and global geographies is most sensible? In the October 2010 version of his paper entitled “Assessing Alternative Global Equity Investment Frameworks”, Xi Li compares the feasibility and...

Do variations in the Baltic Dry Index (BDI), a weighted average of the Baltic Exchange shipping cost indexes for the four largest dry-vessel classes, serve as an early measure of global demand for raw materials...

In his 2011 book The Power of Passive Investing: More Wealth with Less Work, author Richard Ferri presents “the detailed studies and undeniable evidence favoring a passive investing approach. …This information clearly shows that trying...

Do changes in the level of futures markets activity predict returns for corresponding asset classes? In their January 2011 paper entitled “What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?”, Harrison...

Does hedge fund outperformance derive from systematically superior timing or from superior asset selection? In the December 2010 version of her paper entitled “Can Factor Timing Explain Hedge Fund Alpha?”, Hyuna Park decomposes alpha generated...

What variables are persistently effective in picking equity sectors for tactical (monthly) trading? In their July 2010 paper entitled “Global Tactical Sector Allocation: A Quantitative Approach”, Ronald Doeswijk and Pim van Vliet investigate the effectiveness...

...evidence from simple tests on a small sample offers weak support for a belief that large (small) capitalization stocks fare better when the Federal Funds Rate target is increasing (decreasing).

Media commentators and expert advisors sometimes cite cuts and hikes in the Federal Funds Rate (FFR) as an indicator of U.S. stock market prospects, with decreases (increases) in FFR acting as a stimulant (depressant). Does...

Are Real Estate Investment Trusts (REIT) as an asset class a good diversifier for the stock market? To check, we focus on monthly correlation of returns as a measure of diversification capacity for Vanguard REIT...

Is it feasible to isolate and exploit the value of entrepreneurial spirit among publicly traded stocks? In his Fall 2009 article entitled “Investing in Troubled Times: Entrepreneurs are Your Safest Bet”, Joel Shulman defines, filters...

Are there technical trading rules that persist in profitability, or does the market adapt to extinguish them? In their January 2011 paper entitled “Technical Analysis in the Foreign Exchange Market”, Christopher Neely and Paul Weller...

A reader suggested that we review the stock market commentary of Abby Joseph Cohen, partner and chief U.S. investment strategist at Goldman Sachs. Her public record, available most robustly via MarketWatch and Bloomberg.com, focuses on...

If you believe inflation is coming, should you shift assets toward commodities-oriented assets? In their November 2010 paper entitled “Are Commodities a Good Hedge Against Inflation? A Comparative Approach”, Laura Spierdijk and Zaghum Umar compare...

Do stocks trading on Over-the-Counter (OTC) markets, generally off limits for institutional traders, present in aggregate a good opportunity for individual investors? In their December 2010 paper entitled “Do Investors Overpay for Stocks with Lottery-Like...

A reader interested in the gap between time-weighted equity returns and actual dollar-weighted returns experienced by investors flagged critiques of prior studies described in: “Returns for Investors (Rather Than Markets)”: “…the actual aggregate (timing) experience...