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Investing Research Articles

3470 Research Articles

Pros and Cons of 130/30 Funds

…investors who believe that they can find fund managers who reliably generate alpha should consider the enhanced alpha for higher fee trade-off of 130/30 funds.

Beware the Favorite Investments of Stock Market Gurus?

…investors should beware of the favorite equity investments of stock market newsletter gurus. Many favorites may be swing-for-the-fences speculations.

Macroeconomic Shocks and the Stock Market

…inflation shocks significantly affected the U.S. stock market over the past half century, with disinflation (inflation) shocks increasing (decreasing) stock prices and promoting boom (bust) conditions.

Returns of High-Momentum Stocks Around Earnings Announcements

…traders may be able to exploit an attention-driven anomaly for very high momentum stocks by going long from five days before to the morning after earnings announcement and short the next five days.

Industrial Production as a Predictor of Stock Returns

…while of little value to traders, the industrial production (output) gap may have some meaningful predictive power for broad U.S. stock returns over relatively long periods.

Returns and Success Factors for Commodity Futures Speculators

…large speculators in commodity futures generally do make money by exploiting risk premiums derived from the theory of storage (and perhaps from momentum trading).

Inflation as Fed Model Intermediator

…the high correlation between equity yield and bond yield derives rationally from the tendency for inflation to be elevated during recessions, such that both equity and bond premiums are relatively high during recessions.

Classic Paper: Physical Inventories and Commodity Futures Returns

…physical inventory levels are the critical determinants of commodity future price variations and returns, intermediating both backwardation (positive roll) returns and momentum returns. After accounting for inventory effects, there is no evidence that the aggregate position of traders (hedging pressure) predicts commodity futures risk premiums.

Cash Flow Trumps Discount Rate in Stock Valuations?

…cash flow expectations represent a significant positively correlated component of stock returns at both firm and aggregate levels. Their importance grows with investment horizon, dominating discount rate expectations for horizons over three years.

Redemption Fees Signal Mutual Fund Outperformance?

…properly structured mutual fund redemption fees tend to protect long-term investors by penalizing frequent traders. Small redemption fees of long duration are optimal for long-term investors.