Investing Research Articles

...share repurchase announcements persist as good indicators of stock undervaluation, most significantly amplified by poor returns over the prior six months.

...the sentiment of institutional (private) investors probably has some (no) value in predicting stock market returns over a six-month horizon.

Reader Richard Beddard, editor of Interactive Investor, flagged a series of three studies by Keith Anderson and Chris Brooks on approaches to enhancing the value premium via empirical analysis of the price-earnings ratio (P/E) calculated...

...there is a cycle of cash flow between companies and investors, as the former first sell shares, then buys the shares of other companies and finally buys back their own shares.

...Herb Greenberg successfully identify stocks that, on average, underperform the market. However, the high variability of returns for these stocks continues to make trading on "Greenberg mentions" extremely risky.

...institutional herding on hope and fear drives overvaluation (undervaluation) of growth (value) stocks, leading to their future reversals of fortune.

...the stock return momentum effect wasn't there, then it was there for a long time, and now it's gone.

...it is very difficult for individual investors to beat the market. Infrequent trading and lower-risk holdings have been key to relative outperformance since 2000.

Are company stock buybacks equivalent to cash dividends for stockholders? Conversely, are company sales of stock “undividends” for stockholders? A forthcoming article in the April 2007 Journal of Finance addresses these questions. In the underlying...

...there is no reliable weather-sun-moon risk premium.

...implied or expected volatility (VIX) should tentatively be viewed as a fifth factor in modeling stock returns because it affects them both directly in a multi-factor model and indirectly through the other risk factors.

...only about 20% of all hedge funds have produced after-fee returns that clearly beat those of statistical replicants that mechanically trade a basket of liquid futures contracts.

As the esteemed, erudite chorus of the downside constantly reminds us, Bear Claus...

How do analyst earnings forecasts vary across financial reporting periods? Does the desire of analysts to maintain a good relationship with firm management affect earnings forecasts? In their February 2007 paper entitled “Relationship Incentives and...

Suppose quack financial advisors offered their services to naive investors. What would happen? In the December 2005 version of his paper entitled “The Market for Quacks”, Ran Spiegler applies game theory to a scenario that...

...the stocks of companies least admired by the ostensibly well-informed may well outperform the stocks of the companies most admired.

...the small positive alpha of hedge funds in aggregate is likely to move toward the negative alpha of the mutual fund industry in the coming years.

Is aggregate investor sentiment a useful trading indicator? For what kinds of stocks is sentiment trading most likely to work? In their December 2006 paper entitled “Investor Sentiment in the Stock Market”, Malcolm Baker and...

When the market trend challenges their beliefs, what do we hear from market "experts?"

The Financial Forecast Center (FFC) forecasts the average value by month for the S&P 500 index for the current month and the next five months , including fairly large error ranges for 50% and 90%...

...the authors find that both market friction and investor irrationality play substantial roles in the pricing of stocks.

...commodity futures in aggregate offer a long-term return comparable to that of stocks, with less downside risk and a substantial diversification benefit for a stock/bond portfolio.

…is fear as a sales pitch.

...the Fed model and the long-term P/E mean reversion model are complementary perspectives on return prediction, with the former reasonably useful for forecasting up to three years into the future and the latter applicable over...

How well do commonly used valuation multiples align with actual stock prices? In their January 2007 paper entitled “Multiples and Their Valuation Accuracy in European Equity Markets”, Andreas Schreiner and Klaus Spremann investigate the accuracy...