Buffering Exuberance
January 11, 2005 - Short Selling
…short selling is more effective at buffering exuberance for individual stocks than for the overall market.
January 11, 2005 - Short Selling
…short selling is more effective at buffering exuberance for individual stocks than for the overall market.
January 10, 2005 - Mutual/Hedge Funds
…mutual fund inflows naively chase past returns.
December 29, 2004 - Animal Spirits
…the media constitute a possibly destabilizing element, since they support the continuation and reinforcement of states of disequilibrium, or maybe even trigger them.
December 20, 2004 - Animal Spirits
…investor emotions drive market volatility, but there is an asymmetry to fear and greed.
December 14, 2004 - Mutual/Hedge Funds
…individual investors should be wary of investing in stocks that are the top mutual fund holdings.
November 19, 2004 - Investing Expertise
…portfolios built using aggregate analyst recommendations may produce gross outperformance, but transaction costs absorb excess returns. Moreover, privileged investors get the jump on analyst-driven trades.
November 12, 2004 - Fundamental Valuation
…the Fed Model has worked pretty well starting about 1960, with interest rates since playing a key role in stock valuation.
November 10, 2004 - Equity Premium, Fundamental Valuation
In their June 2003 paper entitled “A General Theory of Stock Market Valuation and Return”, Christophe Faugere and Julian Van Erlach contend that past stock returns are overstated and develop a market valuation formula that out-fits the Fed Model. Specifically, they show that:
November 8, 2004 - Fundamental Valuation
In his May 2002 paper entitled “Market Timing Strategies that Worked”, Pu Shen evaluates the effectiveness of the spreads between the S&P 500 index earnings yield (the earnings/price ratio or E/P) and the yields on 10-year Treasury notes (T-note) and 3-month Treasury bills (T-bill) as market timing indicators. By constructing “horse races” between switching strategies… Keep Reading
November 3, 2004 - Big Ideas
…stock market returns fluctuate away from, and revert to, a running mean on a roughly annual basis.