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3470 Research Articles

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Political Influences on Stock Valuation Levels

…U.S. stocks tend be be most overvalued under Democratic Presidents, under popular Presidents, during election years and during years when no new major military conflicts start.

Naive Investors: Illusions of Personal Past Performance

…individual investors/traders should be diligent and honest in assessing personal past performance if they want to learn from experience.

Australian Stock Market Anomalies

…the Australian stock market offers several historical anomalies, most notably size and negative earnings-to-price, that investors/traders may be able to exploit.

The Truly Active Part of Active Fund Management

…real active management consists not of the selection of portfolio assets but rather the decisions to change the weights of these assets within the portfolio.

(Low) Volatility as an Indicator of Persistent Hedge Fund Outperformance

…low volatility of returns is key to identifying persistent outperformance among hedge funds.

Short-term Relative VIX Level as a Trading Signal

…the TradingMarkets 5% VIX rule is of limited practical use and does not support a standalone trading strategy that keeps up with buy-and-hold.

Professional Economists Forecasting Stock Returns

Via the semiannual Livingston Survey, the Federal Reserve Bank of Philadelphia solicits forecasts for the S&P 500 index (and many other U.S. economic measures) from economists in industry, government, banking and academia. How good are their forecasts? In his June 2007 paper entitled “Predicting Stock Price Movements: Regressions versus Economists”, Paul Soderlind examines the aggregate… Keep Reading

Multi-year Reversals for Past Winners and Losers

…the persistent and robust multi-year reversal of returns observed among UK stocks supports the view that investors overreact to price trends of the past few years, driving good (poor) performers too high (low).

When the Going Gets Tough, the Predictive Power Gets Going?

…because the most informed players have the latitude to delay showing their hands during business expansions, the power of widely used indicators of future stock returns emerges predominantly during recessions.