Investing Research Articles

What is Warren Buffett’s preferred fixed asset allocation, and how does it perform? In his October 2015 paper entitled “Buffett’s Asset Allocation Advice: Take It … With a Twist”, Javier Estrada examines Warren Buffett’s 2013 implied endorsement of a fixed allocation of 90% stocks and 10% short‐term bonds (90/10). Specifically, he tests the performance of eight fixed asset allocations ranging from 100/0 to 30/70…. Keep Reading

…while mid-single digits may be a reasonable rough estimate for the equity risk premium, there is not a generally accepted value for it or method of estimating it.

The submission deadlines for the 2016 Wagner Award, presented by the National Association for Active Investment Management (NAAIM) are December 15, 2015 for an Intent to Submit and February 29, 2016 for a final paper. Per the “Call for Papers”: “The competition is open to all investment practitioners, academic faculty and doctoral candidates in the field. …Papers must… Keep Reading

Does “meaningful” short-term stock return momentum predict exploitable short-term price trends? In their October 2015 paper entitled “News Momentum”, Hao Jiang, Sophia Li  and Hao Wang combine time-stamped firm news with high-frequency (15-minute) stock returns to identify stocks exhibiting news-driven momentum. Their news feed is the stream of unique items (no repeated stories) delivered in near real time by RavenPack. News-driven momentum derives from high-frequency returns… Keep Reading

What combination of factors best predicts stock market returns at a monthly frequency? In the October 2015 draft of their paper entitled “Comparing Asset Pricing Models”, Francisco Barillas and Jay Shanken apply a Bayesian procedure to compare all possible pricing models based on subsets of a given set of pricing factors. They consider a total of ten factors: market, two versions… Keep Reading

Do individual investors exhibit good or bad timing in stock transactions of recent years? In the August 2015 version of their paper entitled “Fool’s Mate: What Does CHESS [Clearing House Electronic Subregister System] Tell Us About Individual Investor Trading Performance?”, Reza Bradrania, Andrew Grant, Joakim Westerholm and Wei Wu examine the short-term performance of stocks with unusual buying or selling… Keep Reading

Do stocks worldwide generate most of their total return while the market is open or closed? In their October 2015 paper entitled “Making Money While You Sleep? Anomalies in International Day and Night Returns”, Kevin Aretz and Sohnke Bartram decompose returns and factor premiums into day and night components. When aggregating returns across countries, they first average… Keep Reading

Do both asset-level and portfolio-level risk management techniques enhance portfolio performance? In the October 2015 version of his paper entitled “Optimal Dynamic Portfolio Risk Management”, Valeriy Zakamulin investigates risk management across assets (relative weighting of risky assets) and risk management over time (timing the market via positions in the risk-free rate/leverage). For risk management across risky assets, he consider equal weighting,… Keep Reading

What are pros and cons of extending the definition of financial index beyond conventional market capitalization (buy-and-hold) weighting? In the October 2015 draft of his paper entitled “What Is an Index?”, Andrew Lo proposes that any portfolio satisfying three properties should be considered an index: (1) transparent (public and verifiable); (2) investable (realistic and liquid benchmark); and, (3) entirely rules-based (allowing… Keep Reading

Is gold a consistent hedge against inflation? In their October 2015 preliminary paper entitled “Is Gold a Hedge Against Inflation? A Wavelet Time-Frequency Perspective”, Thomas Conlon, Brian Lucey and Gazi Salah Uddin examine the inflation-hedging properties of gold over an extended period at different measurement frequencies (investment horizons) in four economies (U.S., UK, Switzerland and Japan). They consider both realized and… Keep Reading