Investing Research Articles

In the opening paragraphs of his April 2010 article entitled “Traditional vs. Behavioral Finance”, Robert Bloomfield handicaps his subject contest as follows: “The traditional finance researcher sees financial settings populated not by the error-prone and emotional Homo sapiens, but by the awesome Homo economicus. The latter makes perfectly rational decisions, applies unlimited processing power to… Keep Reading

Careful assessment of the exploitability of premiums or anomalies derived from long-run series such as stock indexes requires consideration of contemporaneous trading frictions. How have frictions changed over time? In the May 2002 version of his paper entitled “A Century of Stock Market Liquidity and Trading Costs”, Charles Jones assembles annual long-run series of three… Keep Reading

…evidence from joint tests support a belief that the Halloween effect and the turn-of-the-month effect are the “real” calendar effects.

…evidence from simple tests indicates that the momentum anomaly is substantial and persistent over long periods for industries/asset classes on a gross return basis.

…evidence indicates that many (but not all) well-known stock return anomalies derive their profitability from short positions in firms with low credit ratings during deteriorating credit conditions, with shorting constraints and illiquidity limiting exploitation.

…evidence suggests that fear of disasters accounts for large fractions, perhaps most on average, of both the equity risk premium and the volatility risk premium.

…evidence from tests of an extensive set of technical trading rules as applied to emerging foreign exchange markets indicates that profitability of technical analysis, after correcting for data snooping bias, may be illusory.

…evidence from simple tests does not support a belief that The Mutual Fund Strategist timing signals beat simple free timing signals based on a 200-day simple moving average.

…investors may be able to boost momentum returns for individual stocks substantially by incorporating information from past trading volume and detailed analysis of firm fundamentals.

…tailored fundamental analysis may be able to identify growth stock mispricing and earn substantial abnormal returns.