Investing Research Articles

Reasons why it is likely unproductive to attempt to rank firm characteristics or factors according to predictive power for future stock returns, or strategies according to modeled alpha, include…

…investors may be able to generate substantial average abnormal returns by systematically taking short (long) positions in stocks of firms with extremely bad (good) quarterly earnings for several months after respective earnings announcements.

…empirical analysis indicates that ignoring hedge fund withdrawal restrictions may result in material overestimation of the benefits of including hedge funds in a portfolio.

…evidence from narrow portfolios (top 30 stocks) over a recent short test period indicate that GARP-value-size strategies perform well, with the magic formula (EBIT/EV and ROC combined), EBIT/EV alone and E/P alone excelling.

“…many investors have been lured into the idea that shorting a pair of leveraged ETFs is a sure gain.”

…evidence indicates that option collars may substantially improve the performance of ETFs and mutual funds over fairly long periods that include bear markets.

The author therefore employs a strategy that agrees with your hypothesis.

…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.

…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.

…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.