What Puts Brits in the Mood (for Buying or Selling Stocks)?
March 1, 2007 - Animal Spirits
…there is no reliable weather-sun-moon risk premium.
March 1, 2007 - Animal Spirits
…there is no reliable weather-sun-moon risk premium.
February 28, 2007 - Volatility Effects
…implied or expected volatility (VIX) should tentatively be viewed as a fifth factor in modeling stock returns because it affects them both directly in a multi-factor model and indirectly through the other risk factors.
February 23, 2007 - Mutual/Hedge Funds
…only about 20% of all hedge funds have produced after-fee returns that clearly beat those of statistical replicants that mechanically trade a basket of liquid futures contracts.
February 21, 2007 - Animal Spirits, Cartoons
As the esteemed, erudite chorus of the downside constantly reminds us, Bear Claus…
February 20, 2007 - Fundamental Valuation, Investing Expertise
…analysts tend to walk their earnings forecasts down as release of actuals approaches, and this walk-down effect is stronger for analysts that have good relationships with management.
February 16, 2007 - Investing Expertise
…naive customers for services with outcomes for which it is hard to distinguish skill from luck will attract and sustain a diverse set of quacks.
February 14, 2007 - Investing Expertise, Sentiment Indicators
…the stocks of companies least admired by the ostensibly well-informed may well outperform the stocks of the companies most admired.
February 13, 2007 - Mutual/Hedge Funds
…the small positive alpha of hedge funds in aggregate is likely to move toward the negative alpha of the mutual fund industry in the coming years.
February 9, 2007 - Sentiment Indicators
Is aggregate investor sentiment a useful trading indicator? For what kinds of stocks is sentiment trading most likely to work? In their December 2006 paper entitled “Investor Sentiment in the Stock Market”, Malcolm Baker and Jeffrey Wurgler summarize a top down approach to addressing these questions, focusing on the measurement of aggregate sentiment and its… Keep Reading
February 8, 2007 - Animal Spirits, Cartoons, Investing Expertise
When the market trend challenges their beliefs, what do we hear from market “experts?”