Investing Research Articles

...investors may be able to exploit the predictability of equity return volatility via a dynamic leverage strategy that increases (decreases) leverage when predicted volatility is low (high).

...without more convincing validation of the performance/trade data offered, curious investors may want to track live trading signals at Long-Short-Timing.com for themselves over a reasonably long period to assess their economic value.

...evidence suggests that investors employing hedge momentum strategies may want to adjust the level of hedging (long past winners versus short past losers) according to portfolio risk level.

...simple U.S. stock market valuation metrics currently indicate (perhaps extreme) undervaluation, but these indications involve considerable uncertainty.

...claiming options on ETFs as Section 1256 contracts appears risky pending a specific IRS ruling. Those considering doing so should consult their tax advisors...

A reader requested comments on the paper “Why Do Closed-End Bond Funds Exist?” by Edwin Elton, Martin Gruber, Christopher Blake and Or Shachar. This study investigates the unique aspects of closed-end bond funds using characteristics...

Should investors go with or against asset pricing bubbles? Or, should they step aside and await a “Return to Normalcy?” In their December 2009 paper entitled “Riding Bubbles”, Nadja Guenster, Erik Kole and Ben Jacobsen...

...results from simple tests do not support a belief that an investor can readily filter good and bad daily stock market returns based on the level of realized volatility.

Can investors effectively exploit the short-term price reversal anomaly for individual stocks after trading friction? Is success limited to big players? In their May 2010 paper entitled “Another Look at Trading Costs and Short-Term Reversal...

As suggested by a reader, we evaluate here Steve Sjuggerud’s commentary on the U.S. stock market via the DailyWealth archive since October 2005. DailyWealth is an informational service of Stansberry & Associates Investment Research, which...

...potential issues regarding sample size, data quality, data snooping bias and look-ahead bias undermine belief in this study's conclusion that changes in the population for age nine in the U.S. accurately predict U.S. stock market...

...evidence indicates that investors may be able to exploit gross profits-to-assets as a predictor of individual stock returns, especially within industry. The effect is comparable in magnitude and complimentary to book-to-market, such that combining them...

...evidence indicates that expert analysts who have relatively high prior earnings forecasting accuracies, forecast frequencies and forecast revision frequencies and who cover relatively few companies and industries make abnormally good stock recommendations.

...hedge fund investors may want to consider the probability and persistence of increasing high water mark in selecting hedge funds.

...evidence from an array of tests indicates that the cumulative return over the period from 12 months ago to seven months ago is decisive for the momentum anomaly for U.S. stocks, industries, styles, country indexes,...

"On a day after a large decline in equities, it might be appropriate to look at managed futures."

Can technical (price) analysis usefully identify major bubbles and anti-bubbles in financial markets? In the May 2009 version of their paper entitled “A Consistent Model of ‘Explosive’ Financial Bubbles With Mean-Reversing Residuals”, Lin Li, Ruoen...

...evidence indicates a potentially exploitable tendency for prices of individual U.S. stock options to drop over weekends.

"How has Jack Steiman done? I have heard that he does a good job of calling the markets."

As suggested by a reader, we evaluate here the stock market commentary of the Aden sisters via MarketWatch.com since June 2006. Mary Anne and Pamela Aden are self-described as “two of the most influential and...

"Have you done a review on spinoffs?"

...evidence indicates that cloning winning mutual funds with consistent styles may be an attractive stock-picking strategy.

In the opening paragraphs of his April 2010 article entitled “Traditional vs. Behavioral Finance”, Robert Bloomfield handicaps his subject contest as follows: “The traditional finance researcher sees financial settings populated not by the error-prone and...

Careful assessment of the exploitability of premiums or anomalies derived from long-run series such as stock indexes requires consideration of contemporaneous trading frictions. How have frictions changed over time? In the May 2002 version of...

...evidence from joint tests support a belief that the Halloween effect and the turn-of-the-month effect are the "real" calendar effects.