Investing Research Articles

…while dominant factors may be common, different groups of stocks require different factor models to explain the variation in returns among individual stocks within them.

…investors are willing to pay a premium to protect themselves from crashes in individual stocks. Systematically selling puts on individual stocks, with sufficient leverage, can enhance equity portfolio performance.

…Jim Cramer’s buy (sell) recommendations tend to gap up (down) overnight to a degree inverse to market capitalization and then level off or reverse over the next few weeks. In general, investors cannot capture the gaps. The best play for traders is to buy Cramer-initiated small-cap sell recommendations within a few days and wait for reversal over the next few weeks.

We evaluate here the weekly commentary of Merrill Lynch’s Bob Doll from January 2003 (the earliest available) through September 2006. Bob Doll was President and CIO of Merrill Lynch Investment Managers, the firm’s asset management arm. With the October 2006 merger of this group with Blackrock Inc., Mr. Doll’s commentary for Merrill Lynch is discontinued. The… Keep Reading

…a five-factor model effectively explains differences among individual stock returns, with volatility of past returns at least as important as size, value and momentum factors.

…hedge funds may be more risky than their quantitative strategies indicate because the strategies do not account for the effects of fund growth, proliferation of similar funds and increased leverage. The hedge fund party may have become so crowded that, when someone yells “Fire!”, the exit door cannot handle the computer-driven panic.

…hedge funds that conservatively smooth out market bumps with minimal net exposure to equities and mid-range returns tend to be the most reliable outperformers.

…traders should care strongly about their trading, focus on understanding any negative emotions they experience while trading, and work hard to prevent emotions from affecting their risk management practices.

…by trying to make the Federal Funds Rate lead rather than respond to economic fundamentals, the Federal Reserve causes a disconnect between short-tem and long-term interest rates.

…although energy sector ETFs track the price of crude oil fairly well over long periods during 1999-2007, short-term variations in the two series are only slightly related.