Investing Research Articles

Do aggregate corporate earnings predict bond market returns? In his January 2012 paper entitled “Aggregate Earnings and Corporate Bond Markets”, Xanthi Gkougkousi investigates the relationship between aggregate earnings and corporate bond market returns. Using quarterly aggregate earnings for a broad sample of U.S. stocks with fiscal years ending in March, June, September and December and total… Keep Reading

Do companies reliably repurchase their stocks at bargain prices, thus providing signals for investors to tag along? In the January 2012 update of their paper entitled “Do Firms Buy Their Stock at Bargain Prices? Evidence from Actual Stock Repurchase Disclosures”, Azi Ben-Rephael, Jacob Oded and Avi Wohl use detailed repurchase data from SEC filings since… Keep Reading

Does seasonal fear of stock market weakness or demand for jewelry drive gold prices? In his January 2012 paper entitled “The Seasonality of Gold – Jewelery Demand and Investor Behavior”, Dirk Baur examines calendar month seasonality of the price of gold. Using daily gold bullion spot prices (London fixing) and COMEX gold futures prices during… Keep Reading

As suggested by readers, we evaluate here Douglas Kass’ outlooks for the U.S. stock market since mid-2006 as extracted from his Seabreeze Partners blog. Douglas Kass is founder and President of Seabreeze Partners Management, Inc., which “specializes in the management of alternative investment products.” He writes regularly for TheStreet.com (apparently the source of blog articles) and appears frequently… Keep Reading

Is the value premium seasonal? In their 2012 paper entitled “Is the Value Effect Seasonal? Evidence from Global Equity Markets”, Praveen Kumar Das and Uma Rao investigate the intersection of the January effect and the value premium in stock market indexes around the world. They consider market capitalization-weighted value and growth stock portfolios for the following… Keep Reading

Do hedge funds trade on market risk, idiosyncratic risk or tail risk? In their November 2011 paper entitled “Systematic Risk and the Cross-Section of Hedge Fund Returns”, Turan Bali, Stephen Brown and Mustafa Caglayan explore the predictability of hedge fund returns based on distinct market-related (systematic), idiosyncratic (residual) and tail risk measures. They alternatively consider four-factor… Keep Reading

Does momentum investing work for currencies as it does for equities? In the December 2011 version of their paper entitled “Currency Momentum Strategies”, Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf investigate momentum strategies in foreign exchange (FX) markets. FX markets are generally more liquid than equity markets, with huge transaction volumes, low trading… Keep Reading

Can investors earn a reliable premium from stocks with high downside risk? In their January 2012 paper entitle “Sorting Out Downside Beta”, Thierry Post, Pim Van Vliet and Simon Lansdorp measure in four ways (including regular beta) the premium associated with stock sensitivity to market movements. They estimate excess market returns based on total returns of… Keep Reading

In the brief August 2011 paper entitled “Paired-switching for Tactical Portfolio Allocation”, flagged by a subscriber, Akhilesh Maewal and Joel Bock investigate the efficiency of a simple momentum strategy applied to pairs of exchange-traded funds (ETF) with negative return correlations. Every 13 weeks (four times per year), they rank the performances of the two funds over… Keep Reading

Over the past few days, in the background, we have updated and rationalized “Simple Sector ETF Momentum Strategy” (update pending) and “Doing Momentum with Style (ETFs)” (update just published). Updated means adding data for December 2011. Rationalized means making the two analyses more similar in data processing and presentation approaches. We have also put together, and will soon… Keep Reading