Why Rational Asset Pricing Models Don’t Work Well
February 1, 2007 - Animal Spirits, Fundamental Valuation
…the authors find that both market friction and investor irrationality play substantial roles in the pricing of stocks.
February 1, 2007 - Animal Spirits, Fundamental Valuation
…the authors find that both market friction and investor irrationality play substantial roles in the pricing of stocks.
January 29, 2007 - Commodity Futures
…commodity futures in aggregate offer a long-term return comparable to that of stocks, with less downside risk and a substantial diversification benefit for a stock/bond portfolio.
January 25, 2007 - Fundamental Valuation
…the Fed model and the long-term P/E mean reversion model are complementary perspectives on return prediction, with the former reasonably useful for forecasting up to three years into the future and the latter applicable over longer horizons.
January 23, 2007 - Fundamental Valuation
How well do commonly used valuation multiples align with actual stock prices? In their January 2007 paper entitled “Multiples and Their Valuation Accuracy in European Equity Markets”, Andreas Schreiner and Klaus Spremann investigate the accuracy of the valuation multiple method in general and the properties of 50 different multiples (see the figure below). They define… Keep Reading
January 22, 2007 - Mutual/Hedge Funds
…this review of mutual fund studies makes low-cost, broad market exchange traded funds sound good.
January 20, 2007 - Individual Gurus - Guru Accuracy: 41%
We evaluate here the advice offered in the “Trendspotting” column in SmartMoney.com by Igor Greenwald since October 2002 (the earliest available). Igor Greenwald was a regular writer and columnist for SmartMoney.com. The table below quotes forecast highlights from the cited source and shows the performance of the S&P 500 Index over various numbers of trading days… Keep Reading
January 16, 2007 - Animal Spirits, Investing Expertise
…(German financial) journalists show predictive ability in their (1) sell recommendations and (2) buy recommendations for value stocks and positive momentum stocks.
January 15, 2007 - Fundamental Valuation
…earnings guidance/forecasts are probably more accurate (to be precise, less intentionally biased) post-SOX than they were pre-SOX.
January 12, 2007 - Fundamental Valuation
…surprisingly strong (weak) aggregate earnings news, as an indicator of high (low) future inflation, may portend relatively low (high) future stock returns.