The U.S. Democratic and Republican political parties arguably exhibit persistently different policy inclinations that affect the aggregate performance of public companies and therefore the U.S. stock market. “Party in Power and Stock Returns” investigates annual...
As suggested by a reader, we evaluate here Nadeem Walayat’s commentary on the U.S. stock market since mid-2006. Nadeem Walayat is editor of The Market Oracle, “with 25 years experience in trading and investing.” The...
How effectively and consistently do equities, bonds, oil, gold and the dollar serve as hedges and safe havens for each other? In their September 2010 paper entitled “Hedges and Safe Havens – An Examination of...
What are the implications for investors of a trend toward strategic and tactical allocation to index proxies (exchange-traded funds and derivatives) rather than individual securities? The July 2010 paper entitled “On the Economic Consequences of...
How well do calendar-based anomalies, such as the January and Halloween/Sell-in-May effects, hold up for data extending back three centuries? Do any new anomalies emerge from such a data set? In their October 2010 paper...
Market capitalization is the most frequently used metric for weighting the individual stock components of market indexes. Other approaches range from equal weighting to weighting on firm fundamentals to weighting generated by return-risk optimization. How...
Academic tests of momentum generally involve frequent adjustments to portfolios of many stocks, such that trading frictions and shorting/capacity restrictions make implementation impractical for both large and small investors. Are there simplified approaches that successfully...
The conclusion of “10-Month SMA Timing Signals Over the Long Run” is that 10-month simple moving average (SMA) timing signals (with current price above/below its 10-month SMA viewed as bullish/bearish) are mostly beneficial over the...
Do investors think differently about winning and losing positions? In their paper entitled “Why Do Investors Update Reference Prices Asymmetrically?”, Susan Grant, Ying Xie and Dilip Soman conduct four laboratory experiments to investigate differences in...
Is beta an effective tool for selecting exchange-traded funds (ETF)? In their October 2010 paper entitled “Black Swans, Beta, Risk, and Return”, Javier Estrada and Maria Vargas investigate the usefulness of beta as a metric...
Does high-frequency trading amplify noise and thereby reduce the signal-to-noise ratio in stock returns? In his August 2010 paper entitled “The Effect of High-Frequency Trading on Stock Volatility and Price Discovery”, Frank Zhang examines the...
Conventional wisdom is that company management can maximize stock price by issuing weak guidance for future earnings that sets low expectations, and then reporting earnings that beat the low expectations. Does evidence support this belief?...
Should long-term investors view their retirement portfolios more like houses than savings plans? In other words, should they start out with considerable leverage and draw the leverage down gradually over time? In their October 2010...
Both stock price momentum and asset growth rate exhibit empirical value as return predictors for individual stocks. Does combining these indicators offer enhanced value to investors? In their September 2010 paper entitled “Firm Expansion and...
...evidence from detailed modeling indicates that tension between holding period and bid-ask spread greatly limits the profit available to aggressive high-frequency trading.
...evidence indicates that the value premium and momentum effect exist at a gross level among frontier market stocks and that these anomalies are both mutually diversifying and diversifying for a global portfolio.
...evidence indicates that investors may be able to outperform a benchmark emerging markets index by exploiting simple country-level value metrics.
...evidence indicates that both fund expenses and dividend taxes constitute substantial drags on European index funds compared to underlying indexes. In other words, each investor may want to account for the personal effect of dividend...
Generalizations from the body of equity price trend research are: (1) stocks tend to exhibit short-term reversal, intermediate-term momentum and long-term reversion; and, (2) small capitalization and high-volatility stocks tend to exhibit the strongest momentum....
...evidence indicates that investors may be able to exploit interest rate trend changes derived from Federal Reserve policy pivots to boost net risk-adjusted returns from bond holdings.
Reader Mike Korell of ChartsEdge suggested an evaluation of his own S&P 500 Index forecasts for inclusion in Gurus. These “stock market forecasts are based on cycle data which has been analyzed by a Pattern...
...investors should assess and compare asset classes based on dynamic estimates of respective risk premiums (implied returns derived from current prices and estimated cash flows) to guide asset class allocation and market timing.
...estimates of the reward for risking equity investment vary with sample period, market and calculation method. Estimates tend to be higher when GDP is volatile and nominal interest rates are low.
...evidence from straightforward tests on a fairly small sample does not support a belief that Jim Rohrbach's timing approach (including service fees) beats simple benchmarks.
...evidence from analysis of market outperformance streaks among actively managed U.S. mutual funds indicates that fund manager skill is material to fund performance.