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3527 Research Articles

The Belief Component of Risk Premiums

…perceptions move markets. Market beliefs, which may express mistaken forecasts, are at least as important to asset pricing as macroeconomic fundamentals.

Do Funds Focused on Just a Few Stocks Outperform?

…mutual funds with relatively few holdings tend to underperform, refuting the view that focus on a few ideas supports good stock picking.

Does the Fiscal Deficit Really Affect Asset Valuations?

How do investors respond to the state of the U.S. federal fiscal deficit? In their August 2007 paper entitled “Fiscal Policy and Asset Markets: A Semiparametric Analysis”, Dennis Jansen, Qi Li, Zijun Wang and Jian Yang examine the relationships between U.S. fiscal policy and U.S. asset markets (stocks and bonds). Using monthly data for the… Keep Reading

Trend Implications of Big Up and Down Days

…big up and down days appear to have some tendency to cluster, with such volatility clusters associated more with market bottoms than with continuing downtrends.

The (Worldwide) Futility of Market Timing?

…a few outlier trading days have a massive impact on long-term stock returns, and attempting to forecast which days is a fool’s errand.

Reliable Intraday Trades on Federal Funds Rate Decisions?

…stocks react to the surprise element in scheduled Federal Funds Rate announcements. There may be reliable trades in short-term continuation (reversal) of stocks after an initial spike down (up), especially for financial and information technology stocks.

Recent Speculations on Prediction Markets

…many eminent economists and political scientists believe that prediction markets could offer significant benefits to society and that government should remove barriers to their productive use.

How Fund Managers React to Success and Failure

…recent success (failure) leads to risk-taking (risk-avoidance) among mutual fund managers.

A Tradable Accruals Anomaly

…firm accruals may be a good indicator of future stock returns when combined with a broader measure of firm financial health, or when defined as a fraction of earnings rather than assets.

Sector Rotation Based on Monetary Policy

…investors can significantly outperform the broad U.S. stock market by rotating into cyclical (noncyclical) sectors when the Federal Reserve discount rate begins falling (rising).