Investing Research Articles

…investors may be able to generate substantial abnormal returns by combining the effects of earnings and accruals surprises, qualified by overall firm operating performance.

…the UBS/Gallup Investor Optimism Index is modestly reactive to recent stock market behavior, but it has no predictive power for stock returns (even before its release to the public).

…value and momentum investing may work across a broad range of asset classes, and the two effects are independent enough that combining them may yield incremental outperformance.

…investors may find edges by considering both the levels of and changes in analyst stock ratings, with the combination more powerful than the separate indications.

…monthly returns for mid-term to long-term Treasuries exhibit a seasonality that is roughly the mirror image of that for stock returns, with November standing out as an exception (strong for stocks and Treasuries).

…expect more dynamic strategies [such as 130% long/30% short] to become passive benchmarks as the investor base becomes more sophisticated and demanding.

…this book is a generally accessible challenge to the widespread use of Gaussian statistics as tools of prediction in socioeconomics (encompassing investing). With strong emphasis on intractable uncertainty, it is necessarily parsimonious and vague regarding advice to investors.

…mutual fund timers on average underperform passive buy-and-hold mutual fund investors. Investors who use fund-compensated investment advisors exhibit particularly bad timing.

…an investor who enters (exits) the market when the S&P 500 index crosses above (below) its 200-day moving average may miss most of the extremely high volatility days but will probably not enhance cumulative return by missing them.

…actively managed mutual funds on average generate about half their value by picking the right industries rather than the right stocks. This big-picture skill, not company analysis, accounts for fund performance persistence.