Valuation Metric Map and Critique
May 24, 2010 - Fundamental Valuation
…simple U.S. stock market valuation metrics currently indicate (perhaps extreme) undervaluation, but these indications involve considerable uncertainty.
May 24, 2010 - Fundamental Valuation
…simple U.S. stock market valuation metrics currently indicate (perhaps extreme) undervaluation, but these indications involve considerable uncertainty.
May 23, 2010 - Equity Options
…claiming options on ETFs as Section 1256 contracts appears risky pending a specific IRS ruling. Those considering doing so should consult their tax advisors…
May 21, 2010 - Bonds, Mutual/Hedge Funds
A reader requested comments on the paper “Why Do Closed-End Bond Funds Exist?” by Edwin Elton, Martin Gruber, Christopher Blake and Or Shachar. This study investigates the unique aspects of closed-end bond funds using characteristics and performance data mostly from 1996-2006 for two samples: (1) 54 pairs of closed-end and open-end bond funds matched for… Keep Reading
May 20, 2010 - Fundamental Valuation
…evidence indicates that riding industry asset bubbles (guided only by information on returns and fundamentals from the past ten years) may be an attractive investing strategy. Evidence does not support shorting bubbles.
May 18, 2010 - Volatility Effects
…results from simple tests do not support a belief that an investor can readily filter good and bad daily stock market returns based on the level of realized volatility.
May 17, 2010 - Technical Trading
…large investors may be able to exploit short-term reversals in individual stock returns by focusing on large capitalization stocks and rebalancing based on return analysis rather than fixed interval.
May 14, 2010 - Individual Gurus - Guru Accuracy: 62%
As suggested by a reader, we evaluate here Steve Sjuggerud’s commentary on the U.S. stock market via the DailyWealth archive since October 2005. DailyWealth is an informational service of Stansberry & Associates Investment Research, which is owned by or affiliated with Agora Inc. Stansberry & Associates Investment Research also offers Steve Sjuggerud’s True Wealth, “a… Keep Reading
May 13, 2010 - Economic Indicators
…potential issues regarding sample size, data quality, data snooping bias and look-ahead bias undermine belief in this study’s conclusion that changes in the population for age nine in the U.S. accurately predict U.S. stock market returns. Also, smoothing rules applied in variable construction obscure exploitability.
May 12, 2010 - Fundamental Valuation, Value Premium
…evidence indicates that investors may be able to exploit gross profits-to-assets as a predictor of individual stock returns, especially within industry. The effect is comparable in magnitude and complimentary to book-to-market, such that combining them is especially powerful.
May 10, 2010 - Investing Expertise
…evidence indicates that expert analysts who have relatively high prior earnings forecasting accuracies, forecast frequencies and forecast revision frequencies and who cover relatively few companies and industries make abnormally good stock recommendations.