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Investing Research Articles

3495 Research Articles

When Mr. Smith Goes to Washington, Sell!

…stock market returns and volatility reflect investor uncertainty regarding the likelihood and nature of Congressional activity. This effect is economically significant.

Feeling Pushed Around? Are Your $ in Jeopardy?

In case the market’s got you down…

Fed Model Versus P/E Model

…the Fed Model better describes the behavior of the market P/E over the past forty years than does a mean-reverting model.

Diversify, Diversify, Diversify(?)

…some risk-tolerant investors successfully exploit significant informational advantages by concentrating their portfolios in a few stocks that they know well.

Weighting for Returns

In his December 2004 paper, Jason Hsu shows that: “Cap-Weighted Portfolios Are Sub-optimal Portfolios”. Noting that over $10 trillion are currently invested in passive capitalization-weighted indices, he examines data from 1962-2003 to show that:

Trust Me, It’s a Great Stock

…if you consider analyst recommendations when picking stocks, you really should check for investment banking conflicts. Better yet, just ignore the analysts.

Short Kiss of Death?

…underperformance of high short interest stocks may be limited to those with high levels of informed (non-arbitrage, non-noise) trading.

Information-Based Trading

…the higher the probability that trading in a stock is informed, the greater the size and persistence of stock price movement.

Short Selling Shocks Stocks

…short selling shocks move stock prices ipso facto. They are news in and of themselves. In the absence of contrary information or reactive strategies, investors should avoid short-shocked stocks.

Explaining Summer Doldrums

…this research suggests that investors should be inclined to sell speculative U.S. stocks in late spring and buy them in the fall.