Anomalies Tested with Expected (Rather Than Historical) Returns
October 7, 2008 - Big Ideas
…the well-known stock market anomalies may be much less reliable in rational practice than they appear in hindsight.
October 7, 2008 - Big Ideas
…the well-known stock market anomalies may be much less reliable in rational practice than they appear in hindsight.
October 6, 2008 - Economic Indicators, Value Premium
…investors may be able to exploit time variation of the value premium based on the state of the economy, moving out of (into) value as recessions approach (end).
September 15, 2008 - Technical Trading
…traders may be able to exploit systematic one-week reversals in the prices of small stocks making 52-week lows.
September 12, 2008 - Economic Indicators
…the nonfarm payroll, GDP advance and ISM manufacturing data releases move markets the most, affecting interest rates and currency exchange rates more than stocks. Impacts are most pronounced immediately after release.
September 11, 2008 - Economic Indicators
…evidence from simple tests does not support a belief that there is a systematic relationship between the annual rate of FDIC bank closings and assistance transactions and annual U.S. stock market returns.
September 10, 2008 - Fundamental Valuation
…traders may have difficulty exploiting mispricing of stocks based on analyst disagreement about future earnings, because mispricing and trading friction rise and fall together. Small, nimble traders who carefully manage trading costs may have the best shot.
September 9, 2008 - Value Premium
…retrospective analysis indicates that investors can identify growth stocks, but the long-term premium they pay for them is about twice that warranted by actual growth.
September 8, 2008 - Big Ideas
…very small numbers of extreme return days have a massive impact on long-term stock returns in emerging markets. The naive probability of predicting which days will be extreme is very low.
September 5, 2008 - Volatility Effects
…evidence suggests investors/traders tend to overpay for stocks with recent extreme positive daily returns, and these stocks therefore subsequently tend to underperform.
September 2, 2008 - Momentum Investing, Value Premium
…investors/traders may be able to enhance momentum trading strategies by focusing on stocks that fit most strongly into a growth or value style.