Investing Research Articles

...modeling suggests that sharp jumps in stock market volatility drive investors to overprice some equity index options, most consistently out-of-the-money put options.

...stock market momentum tends to affect the pricing of broad equity index options such that long options become less (more) desirable for playing continuation (reversal) of strong trends.

...investors may want to consider the cycle of stability, instability and collapse proposed via the Financial Instability Hypothesis (though unquantified) in judging the state of financial markets.

...investors may be able to use the Fed Model to enhance risk-adjusted returns via reduced portfolio volatility.

...investors with low-middle risk tolerance may accrue significant diversification benefits from adding proxies for real estate, commodities and high yield bonds to traditional portfolios of stocks, government bonds and cash.

...evidence from this laboratory test suggests that individuals tend to accept without checking the risk-reward judgments of financial experts.

...The Ivy Portfolio offers investors a well-reasoned, well-documented, easily understood and easily implemented approach to long-term, self-directed portfolio management based on disciplined asset class diversification enhanced by momentum. While investors should expect to underperform the...

...a portfolio that combines value and momentum strategies across global equity markets and other asset classes may offer investors relatively high returns with low volatility.

...mutual fund investors are more likely to find outperformance in funds that emphasize stock selection rather than general market timing.

...evidence suggests that Google search frequency data may disproportionately measure the attention of naive investors/traders and therefore indicate some temporary price pressure for small capitalization stocks.

...evidence suggests that simple win-loss percentages from recent trades influence the future trading behavior of individuals, especially inexperienced traders, far more than does past bottom-line level of profitability of trades. Individual traders may want to...

...investors should not view the mutual diversification power of stocks and bonds as constant for planning horizons of less than a complete business cycle.

...limited evidence from out-of-sample tests of TradingMarkets.com 2-day RSI trading rules for ETFs are mixed regarding a belief that they are reliably profitable. The reported in-sample results may have substantial data snooping bias.

...the Morningstar mutual fund rating system can probably help investors avoid funds with the worst future performance.

...the combined actions of information traders and trend followers typically eliminate 15-30% of the difference between market valuation and fundamental valuation in a year.

...limited evidence continues to suggest that, in aggregate, stock market gurus tend to anchor on bullish or bearish positions, regardless of actual market trends.

...the Fast Money experts as a group probably do not offer fast money with their stock picks, and their stock-picking ability as a group is unimpressive.

How do financial advisors affect the investing practices of individual investors? Does their advice decisively improve client performance, or are other factors more explanatory? In their February 2009 paper entitled “The Influence of Financial Advisors...

Do hedge fund investors actually receive the returns reported for hedge funds, or does the timing of investments in these funds substantially affect experienced returns? In the March 2009 version of their paper entitled “Higher...

...traders may be able to exploit information on hedger and speculator net positions in the Commitment of Traders report to time positions in associated commodity futures.

...investors may be able to boost net returns by timing investments according to an index of leading economic indicators. However, success may depend critically on continually adapting the index to current economic conditions.

...investors should generally focus on the earnings estimates rather than the stock recommendations of equity analysts around the globe. Stock recommendations may offer incremental value (only) in countries with weak legal systems.

Capitalization-weighted stock indexes arguably incorporate a performance drag by overweighting overvalued stocks and underweighting undervalued stocks. In their February 2009 paper entitled “Fundamental Indexing: An Analysis of the Returns, Risks and Costs of Applying the...

...German investor sentiment correctly anticipates equity market moves over the next few months to some degree. U.S. investor sentiment used to to be a contrarian indicator for equity market moves over coming months, but its...

Who wins and who loses among equity investors, and why? In the December 2008 version of their paper entitled “Who Win and Who Lose Among Individual Investors?”, Kingsley Fong, David Gallagher and Adrian Lee compare...