Investing Research Articles

…investors may be able to exploit the predictability of equity return volatility via a dynamic leverage strategy that increases (decreases) leverage when predicted volatility is low (high).

…without more convincing validation of the performance/trade data offered, curious investors may want to track live trading signals at Long-Short-Timing.com for themselves over a reasonably long period to assess their economic value.

…evidence suggests that investors employing hedge momentum strategies may want to adjust the level of hedging (long past winners versus short past losers) according to portfolio risk level.

…simple U.S. stock market valuation metrics currently indicate (perhaps extreme) undervaluation, but these indications involve considerable uncertainty.

…claiming options on ETFs as Section 1256 contracts appears risky pending a specific IRS ruling. Those considering doing so should consult their tax advisors…

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

Should investors go with or against asset pricing bubbles? Or, should they step aside and await a “Return to Normalcy?” In their December 2009 paper entitled “Riding Bubbles”, Nadja Guenster, Erik Kole and Ben Jacobsen investigate empirically the best approach for investors to take regarding active asset bubbles. They detect bubbles within rolling historical 10-year… Keep Reading

…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.

Can investors effectively exploit the short-term price reversal anomaly for individual stocks after trading friction? Is success limited to big players? In their May 2010 paper entitled “Another Look at Trading Costs and Short-Term Reversal Profits”, Wilma de Groot, Joop Huij and Weili Zhou investigate the net profitability of reversal trading with and without steps… Keep Reading

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