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3495 Research Articles

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.

Does Customer Satisfaction Translate to Excess Stock Returns?

…stocks of firms with high ACSI customer satisfaction ratings outperform the market on average over the long term. Said differently, investors appear to undervalue customer satisfaction systematically.

Increased Reliability for Buyback Announcements?

…share repurchase announcements are now more reliable indicators of actual buyback activity, and consequent beneficial impact on earnings per share, than they were before 2004.

The Trading Wire at ChangeWave

As suggested by a reader, we evaluate here the Trading Wire archives at Tobin Smith’s ChangeWave, which extend back to November 2004. Tobin Smith, according to ChangeWave.com, is “among an esteemed new breed of investment advisors, with a fresh profit strategy for the post 2000-2002 bear-market investing world. He’s an energetic straight shooter with a… Keep Reading

Do Good Employers Make Good Investments?

Do companies famously known as good places to work outperform as investments? Or, contrarily, do they waste resources keeping employees happy? In his May 2007 paper entitled “Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices”, Alex Edmans analyzes the relationship between employee satisfaction and long-term stock performance. He identifies companies with… Keep Reading

Testing the Value Premium Down Under

…there is a highly significant value premium among Australian stocks, and the book-to-market ratio is the best way to capture that premium. A size effect exists only among the very smallest stocks.