Investing Research Articles

…evidence suggests that: (1) VIX may contain an extractable component of irrationally felt risk negatively related to stock returns; and, (2) rational investors may not have fully exploited this relationship.

You might find “The Periodic Table of Finance Bloggers” at The Reformed Broker interesting.

…evidence from a relatively short history of global stock returns indicates that portfolio weighting based on mechanical metrics other than market capitalization may enhance raw and risk-adjusted return.

…traders may find Day Trading Options an interesting exploration of potential short-term options pricing inefficiencies and of approaches to exploiting such anomalies. However, the book presents no associated model of reasonably sustainable portfolio-level returns.

The only place Tobin’s q shows up on CXOadvisory.com at present is…

CXOadvisory.com has no original tests focused on autocorrelation of financial market returns.

…investors may be able to outperform the broad market by screening stocks on the 12 most reliable fundamental and technical factors.

…evidence from simple tests on weekly data over a limited sample period indicate that the TFS Market Neutral (TFSMX) mutual fund has (1) dampened but not neutralized broad market volatility and (2) generated some alpha.

There are academic papers related to your comments. Two of the most heavily downloaded are…

…investors may want to ponder whether the fat tails of financial asset return distributions (and those for the outputs of many other complex systems) present risks that “normal” statistical methods cannot mitigate.