The Value Premium Looking Forward
April 11, 2007 - Value Premium
…investors have expected a fairly stable value premium of about 6% per year over the past 60 years, derived mostly from growth in dividends.
April 11, 2007 - Value Premium
…investors have expected a fairly stable value premium of about 6% per year over the past 60 years, derived mostly from growth in dividends.
April 10, 2007 - Big Ideas
…there is considerable redundancy and invalidity among the many factors used to explain differences in returns among individual stocks. Three factors may be necessary and sufficient, with liquidity the most influential.
April 9, 2007 - Animal Spirits
…investors systematically overvalue (undervalue) stocks when they expect earnings per share to be low (high). Their expectations exhibit conservatism bias with respect to both the downside and upside extremes.
April 4, 2007 - Animal Spirits
…status may be more powerful than wealth as a motivator, with significant implications for investor/trader behavior.
April 3, 2007 - Fundamental Valuation
…earnings acceleration helps explain stock returns, most notably when it amplifies the direction of earnings growth (both positive or both negative).
March 30, 2007 - Calendar Effects
…there is a tendency for stocks worldwide to reprise their monthly return behavior every 12 months, with intracycle reversals, over periods of many years. Results suggest calendar-connected market structures.
March 28, 2007 - Size Effect
…a small-stock buy-and-hold approach benefits fully from upside volatility (beta) but does not suffer the entire penalty of downside volatility.
March 27, 2007 - Investing Expertise
…forecasters trying to beat other forecasters tend to take extreme public positions that reflect the motivational bias of competition. An investor considering the public forecasts of gurus should probably shift asserted probabilities away from 0% and 100% toward 50%.
March 26, 2007 - Fundamental Valuation
…Benjamin Graham-style value investing still works but is more difficult to execute than in the past because severe undervaluation has become rarer.
March 23, 2007 - Short Selling
…it appears that some short selling is manipulative, seeking to scare other traders out of their holdings during sharp but temporary engineered price drops.