Investing Research Articles

...real active management consists not of the selection of portfolio assets but rather the decisions to change the weights of these assets within the portfolio.

...low volatility of returns is key to identifying persistent outperformance among hedge funds.

...the TradingMarkets 5% VIX rule is of limited practical use and does not support a standalone trading strategy that keeps up with buy-and-hold.

Via the semiannual Livingston Survey, the Federal Reserve Bank of Philadelphia solicits forecasts for the S&P 500 index (and many other U.S. economic measures) from economists in industry, government, banking and academia. How good are...

...the persistent and robust multi-year reversal of returns observed among UK stocks supports the view that investors overreact to price trends of the past few years, driving good (poor) performers too high (low).

...because the most informed players have the latitude to delay showing their hands during business expansions, the power of widely used indicators of future stock returns emerges predominantly during recessions.

...a dynamic and flexible model of long-term equity returns that accommodates structural breaks improves predictive power, at the cost of considerable complexity.

...a strategy of systematically selling index put options generates on average large abnormal returns but suffers occasional very large setbacks when the underlying index plunges.

As suggested by a reader, we evaluate here the market commentary of David Nassar via MarketWatch for November 2004 through May 2006. David Nassar is the chairman and chief executive of MarketWise.com, “a company built...

...investors may systematically undervalue the stocks of the most admired companies.

...the stock market after a bad week (month) exhibits neither momentum nor reversal reliably the following week (month).

...put-call option ratios as defined have significant predictive power for individual stocks, with high (low) ratios indicating short-term underperformance (outperformance). However, this effect relates predominately to data that is not publicly available. Also, the effect...

...investors/traders appear not to consider recent inflation rate trend or volatility in deciding whether to buy or sell stocks.

...combining a value investing style with a screen for high return on invested capital (productivity) may yield very high-performing portfolios.

...the sponsors of retirement/endowment plans show little timing ability in hiring and firing investment managers. There is some evidence that more sophisticated sponsors (of large plans and of plans that invest internationally) make better decisions.

...the uses of empirical research on financial markets derive in large measure from sampling frequency (supporting either short-term or long-term prediction) and sample duration (supporting either reliable or unreliable inference).

Financial econometrics gives empirical life (and death) to financial market models. Where has this rapidly growing branch of economics been, where is it now and where is it going? In the October 2006 revision of...

...in the absence of equity investment manager performance data that demonstrates strong and persistent net outperformance of the broad market, individual investors are likely better off buying and holding low-cost index funds directly.

...the Efficient Markets Hypothesis is arguably evolving to incorporate genetic material from the theories of psychology, games, learning and biological evolution.

...there is practically no overall relationship between last-month change in T-note yields and next-month stock returns since the beginning of 1990. Extreme T-note yield shocks, negative and positive, may be bullish for stocks, but small...

...agile traders may be able to capture significant short-term gains in stocks targeted by hedge funds via large equity positions and aggressive, specific and public demands on management.

...Australian stock fund managers on average exhibit no timing ability in executing trades of individual stocks, but some managers do consistently outperform others.

Does value beat growth among the stocks of large European firms? In their May 2007 paper entitled “Style Migration in the European Markets”, Antti Pirjetä and Vesa Puttonen compare the performances of simple value and...

...stock betas change over time, and strategies that track these changes with high-frequency data can generate abnormal returns. Stocks with long-term high (low) but recently decreasing (increasing) betas are buys (sells).

A reader notes and asks: “It is frequently said that stocks at 52-week highs are the most likely to outperform in the future. Is there any academic evidence to support this assertion?” In their October...