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Investing Research Articles

3489 Research Articles

Bear Spreads on Leveraged ETF Pairs?

…this logic assumes that the options market maker (or other options trade counterparty) is ignoring or underestimating the impact of the grind when pricing the options.

Art and Stocks

…evidence suggests that: (1) the wealth of the wealthy drives art prices; and, (2) art prices tend to evolve with, or somewhat behind, the equity market at a similar pace.

Extracting the Irrational Part of VIX

…evidence suggests that: (1) VIX may contain an extractable component of irrationally felt risk negatively related to stock returns; and, (2) rational investors may not have fully exploited this relationship.

Other Similar Web Sites?

You might find “The Periodic Table of Finance Bloggers” at The Reformed Broker interesting.

Traditional Beta and Capitalization Weighting Under Attack

…evidence from a relatively short history of global stock returns indicates that portfolio weighting based on mechanical metrics other than market capitalization may enhance raw and risk-adjusted return.

A Few Notes on Day Trading Options

…traders may find Day Trading Options an interesting exploration of potential short-term options pricing inefficiencies and of approaches to exploiting such anomalies. However, the book presents no associated model of reasonably sustainable portfolio-level returns.

Tobin’s q as a Stock Return Predictor?

The only place Tobin’s q shows up on CXOadvisory.com at present is…

Random Walk, or Not?

CXOadvisory.com has no original tests focused on autocorrelation of financial market returns.

Haugen’s Closed Case

…investors may be able to outperform the broad market by screening stocks on the 12 most reliable fundamental and technical factors.

Testing a Market Neutral Equity Mutual Fund

…evidence from simple tests on weekly data over a limited sample period indicate that the TFS Market Neutral (TFSMX) mutual fund has (1) dampened but not neutralized broad market volatility and (2) generated some alpha.