Investing Research Articles

...evidence for the management compensation (rather than reward for shareholders) motivation for open market stock buybacks is mounting, causing investors to pay less attention to buybacks.

...stock market P/E and presidential approval rating are significantly intertwined.

...stock pickers may want to focus on stocks with high idiosyncratic volatility.

...new mutual funds appear to enjoy initial outperformance by taking on innovative risk.

...gain-loss spread (expected gain minus expected loss) is a simple, intuitive measure of investment risk at least as useful as standard deviation.

...investors seem to have left the Fed model for dead.

...momentum and contrarian ETFs based on long-only partitions of broader indexes might offer individual investors practical and diversified access to the momentum factor, and to the associated longer-term contrarian reversal.

...lifecycle investors will generally achieve greater terminal wealth using interim success-based dynamic stocks/fixed income allocation rules than using pre-determined shifts away from stocks and toward fixed income.

...spectral analysis confirms the probable existence of U.S. stock market cycles that coincide with election cycles.

...investors/traders may be able to enhance market timing results by focusing on the most predictable styles/industries (for example, via exchange-traded funds).

...hedge fund investors should recognize that many funds generate "alpha" by taking liquidity risks that make converting assets to cash difficult.

...relative demand for a stock peaks at $xx.99, while relative supply peaks at $xx.01, suggesting resistance to crossing dollar thresholds.

...the value premium among stocks is persistent across value indicators, time, market capitalizations and geographical markets.

...among a broad sample of actively managed mutual funds, stock picking makes a greater contribution to returns than sector allocation. The average contributions to fund returns from market-sectors-stocks are 79%-9%-12%.

Both EMH and BSH challenge at fundamental levels the continuity of relationships between/among financial variables...

...ETFs offer easy and unique (even leveraged) access to a wide range of asset class/market/style/sector indexes. The 17% of ETFs that compete directly with index mutual funds perform similarly to, or perhaps slightly better than,...

...raw stock returns for firms in new U.S. industries tend on average to be positive and substantial, but very concentrated among a few companies. Risk-adjusted returns for new industries mostly match or underperform the broad...

...investors should probably use the excess market return (beta), size and liquidity factors in explaining and predicting individual stock returns, but not the book-to-market ratio (value factor) or other commonly used stock/firm-specific factors.

...evidence indicates that an up/down January is predictive of February-December outperformance/underperformance for the broad U.S. stock market (but not for most other equity markets). However, it may not support an effective market timing strategy as...

...VIX is a roughly mean-reverting and asymmetrical measure of the price of stock portfolio insurance, and that price is empirically reasonable.

Do long-term stock market timing models work? If so, which type works best? In their October 2005 paper entitled Timing is Everything: A Comparison and Evaluation of Market Timing Strategies, Chris Brooks, Apostolos Katsaris and...

A rare sighting...

..."normal" statistical metrics and associated risk management methods do not work in the realm of Black Swans (including financial markets). Redundancy, not optimization, helps manage risk in this realm.

...the Darlings of the Dow strategy offered solid returns over the short post-publication period of 2002-2007, but the level of data mining bias in these returns is unknown and strategy adjustments have impaired out-of-sample testing.

...investors/traders may be able to earn significant abnormal returns by following the lead of short sellers when the short sellers disagree with expert equity analysts (short sellers know best).