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3527 Research Articles

Trading Signals from Retail Investor Behavior

…if you want to make money following the retail investor herd, you have to get in and out within weeks. For longer-term outperformance, bet against the herd.

Jason Kelly on Market Timing

Guru Grades ranks a group of 29 stock market experts according to our assessments of the accuracy of their stock market forecasts. Since Jason Kelly has been at or near the top of the list, we asked him to encapsulate his thinking on stock market timing in a short piece for this blog. What makes… Keep Reading

The After-January Effect?

In case you are sick of hearing about the January effect…

Give Me Your Money Because…

…the advertising of financial firms seeks to tap investor sentiment, a lagging indicator of stock market action, not investor rationality. These appeals encourage trend-following rather than contrarian behavior.

Are Some Shorts Smarter Than Others?

…large short sellers generally know what they are doing. A rapid increase in short interest indicates abnormally low returns over the near term.

The Decline of Stock Picking?

…investors everywhere have increasingly embraced modern portfolio theory, emphasizing risk management (diversification) over stock picking. The best opportunities for (diligent) stock pickers are the stocks of young, small, obscure, foreign firms.

A Few Notes from My Life as a Quant, Reflections on Physics and Finance

In his 2004 autobiography, My Life as a Quant, Reflections on Physics and Finance, Emanuel Derman recounts his experiences as a physicist driven by the forces of employment supply and demand to redirect his labor toward quantitative financial analysis/strategy. Knowledge and skills critical to his transition are: a sense of how the world works, modeling… Keep Reading

Value Versus Growth When the Economy Is Bad

Does value beat growth because: (1) investors/traders irrationally overreact to recent bad (good) news about value (growth) stocks; or, (2) they rationally recognize that value stocks are inherently more risky than growth stocks? In their March 2005 paper entitled “Value versus Growth: Movements in Economic Fundamentals”, Yuhang Xing and Lu Zhang seek to clarify the… Keep Reading

Regulation FD: Have Some Big Shots Lost Their Privileges?

…Regulation FD has helped level the playing field for analysts, and likely also for investors/traders.

Unexplained Volume as a Critical Indicator

…investors/traders should focus first on unexplained volume in a stock, and then on its bid-ask spread, as indicators of future abnormal returns.