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3470 Research Articles

Some Notes on Financial Econometrics

Financial econometrics gives empirical life (and death) to financial market models. Where has this rapidly growing branch of economics been, where is it now and where is it going? In the October 2006 revision of his article entitled “Financial Econometrics”, Andrew Lo provides an introduction to four decades of the field’s most influential academic papers…. Keep Reading

Evaluating “Retail” Investment Managers

…in the absence of equity investment manager performance data that demonstrates strong and persistent net outperformance of the broad market, individual investors are likely better off buying and holding low-cost index funds directly.

Evolution of the Efficient Markets Hypothesis

…the Efficient Markets Hypothesis is arguably evolving to incorporate genetic material from the theories of psychology, games, learning and biological evolution.

T-note Yield Shocks and Stock Returns

…there is practically no overall relationship between last-month change in T-note yields and next-month stock returns since the beginning of 1990. Extreme T-note yield shocks, negative and positive, may be bullish for stocks, but small subsample sizes greatly limit the reliability of this conclusion.

Chumming with Sharks?

…agile traders may be able to capture significant short-term gains in stocks targeted by hedge funds via large equity positions and aggressive, specific and public demands on management.

How Well Do Experts Time Trades of Individual Stocks?

…Australian stock fund managers on average exhibit no timing ability in executing trades of individual stocks, but some managers do consistently outperform others.

Value Versus Growth Among Large European Firms

Does value beat growth among the stocks of large European firms? In their May 2007 paper entitled “Style Migration in the European Markets”, Antti Pirjetä and Vesa Puttonen compare the performances of simple value and growth styles against MSCI Europe as a benchmark index. They employ a market value-book value ratio (P/BV) to define four… Keep Reading

The Long and Short of Beta

…stock betas change over time, and strategies that track these changes with high-frequency data can generate abnormal returns. Stocks with long-term high (low) but recently decreasing (increasing) betas are buys (sells).

The 52-Week High as a Momentum Indicator for Individual Stocks

…the 52-week high is on average a superior indicator of positive momentum for individual stocks (except for a January reversal).

Inflation, Monetary Policy and the Stock Market

…inflation levels and expectations are key to equity market performance, and monetary policies that successfully manage inflation risks would promote stock market stability.