Investing Research Articles

…evidence indicates that a high level of investor sentiment during a bull market may be a useful predictor of low future returns for speculative stocks. Sentiment has little or no power to predict returns during bear markets or for non-speculative stocks.

Several readers have proposed that one can bypass trading frictions…

…volatility traders may be able to exploit predictable behaviors of price volatility for stocks approaching and breaching 52-week highs and lows.

There is a stream of research that indicates three phases of price dynamics in equity markets, reaction – momentum – reversion, that operate over different horizons…

…evidence indicates that the sign (much more than size of profit/loss) of recent trades influences the future trading behavior of individual investors. This influence is adverse to overall profitability.

…investors may be able to streamline the search for anomalous returns by focusing on two factors: (1) firm size, representing the rational risk of failure; and, (2) a seasonal factor related to operating profit and buybacks-secondaries, representing irrational mispricing.

There is not much formal research on Master Limited Partnerships…

…evidence indicates that stock return predictions based on past volatility are sensitive to the interval of measurement. Measurement over long intervals supports the conventional reward-for-risk belief, while measurement at short intervals turns this belief upside down.

…evidence suggests that an investing strategy that combines past return, earnings and revenue momentums outperforms strategies based on only one or two of these momentums.

…evidence from pricing of call options on individual stocks supports belief in a volatility risk premium that increases with stock volatility and decreases with firm market capitalization, but only investors who keep trading frictions low can exploit the variations in premium.