Investing Research Articles

...10% annual return is currently a reasonable hedge fund benchmark.

...the greatest returns are to be found on average among stocks least widely held by institutions.

...calendar effects used to be but mostly aren't any more.

...Professor Sornette's attempt to model one equity market via diligent analysis of similarities to another equity market during a different time does not work, perhaps because the model is simplistically behavioral or because randomness dominates...

...because mean reversion of price-to-book ratios outpaces reinvestment of earnings, value stocks outperform growth stocks.

...Warren Buffett's consistently high level of outperformance challenges the Efficient Markets Hypothesis.

...sophisticated and experienced investors/traders avoid most of the bad effects of the disposition bias. Trading practice helps.

...noise generally swamps signal (true outperformance or underperformance) in financial markets, and in life generally.

...conflicts from the brokerage business (not investment banking) play an important role in shaping analyst forecasting behavior.

...focusing on stocks with both high six-month momentum and rapidly increasing six-month momentum offers significant excess returns.

In their August 2005 paper entitled “Value Versus Growth: Stochastic Dominance Criteria”, Abhay Abhyankar, Keng-Yu Ho and Huainan Zhao apply stochastic dominance techniques to assess the relative performance of value and growth investment strategies in...

...individual investors are systematic stock trading losers; institutions, systematic winners. Individual investors may well be relatively overconfident (despite lack of investing education) and thrill-seeking compared to institutional investors.

...individual investors should exercise special care when considering the repurchase of stocks previously owned or the purchase of more of stocks already owned to ensure that their intellects are in charge of their feelings.

...the average investor in the U.S. equities will have difficulty avoiding relatively poor returns during the summer. They should focus on the winter months.

...while changes in bond yields have short-term effects on stock prices, valuation ratios better forecast long-term stock market behavior.

...the quality (more than the quantity) of emerging earnings moves corporate officers to adjust repurchasing and personal trading of company stock.

...individual investors can look at their own trading patterns for clustering to assess whether they act like big picture or little picture traders.

...while there is a weak negative correlation between aggregate downward earnings guidance and monthly stock market returns, the stock market probably leads the guidance.

...excess returns of the higher-priced stocks entering the Regulation SHO threshold list merit some consideration.

...picking through the stocks leaving the Regulation SHO threshold lists may be worthwhile.

...very recent data suggests that short sellers on average are contrarians who predict (or trigger?) near-term stock price underperformance. However, the underperformance is economically insignificant due to transaction and carrying costs.

...the disposition effect may serve as the bootstrap of momentum investing by retarding the impact of good (bad) news for stocks with large unrealized capital gains (losses).

...a very good introduction to a range of investment styles for new (but diligent) investors and a refresher for experienced ones.

...momentum investing works, driven partly by reward for the risk of the unusual but transitory sensitivity of high-momentum stocks to overall economic growth.

...stock analysts exhibit predictable underreactions in revising earnings forecasts. The degree of underreaction increases with the earnings forecast dispersion.