Investing Research Articles

…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.

…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 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.

…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.

…testing indicates that the COTs Timer trading system for the S&P 500 index as presently specified exhibited strong outperformance during 1996-2002, but not over the last five years.

…traders may be able to exploit predictable seasonal changes in implied volatility that derive from the effects of investor mood on perceived risk and not from variations in actual risk.

…individual active traders on average may be able to beat the market when collaborating on trading methods and opportunities.

Is there a predictable market reaction to stocks reaching round-number n-day highs and lows? In their November 2007 paper entitled “Highs and Lows: A Behavioral and Technical Analysis”, Bruce Mizrach and Susan Weerts investigate whether there are systematic trading behaviors for stocks posting 10-day, 25-day, 50-day, 100-day, 150-day, 200-day and 52-week highs and lows. Using… Keep Reading

…Lenny Dykstra’s deep-in-the-money call options (leveraged) strategy depends more on pure volatility and favorable market conditions than on skill in timing the movements of the underlying stocks. A substantial, multi-month market decline could cause the strategy to crash, seriously impacting long-term return on investment.

…commodity futures long-short momentum strategies may offer both good average returns and effective diversification of a stocks/bonds portfolio.