Investing Research Articles

…evidence from limited tests does not support a belief that the Mutual Fund Research Newsletter quarterly asset class allocation recommendations have any market timing value.

…large hedge funds contend with significant diseconomies of scale, and consequently underperform comparable small hedge funds.

…equity investors may want to alternate between momentum and value investing styles as the overall stock market varies from low-volatility to high-volatility states.

…the profitability of pairs trading relates strongly to differences between paired stocks regarding: (1) the speed with which news is likely to diffuse across the shareholder bases; and, (2) the frictions which probably inhibit acting on this news.

…equity traders may find the trading rules in Short Term Trading Strategies That Work interesting, but they should consider potential limitations in the supporting analyses and recognize the challenge of reliably extracting economic value from such rules with trading frictions in a real, continuously managed series of trades.

…the current environment may challenge the lifetime experience of most investors regarding the relationship between the inflation rate and stock returns.

…medium-term momentum investing may be profitable in most, but not all, international equity markets.

…Profit from the Peak offers a range of stock recommendations to exploit a long-term energy shortage, but historical data suggest that a portfolio constructed from these stocks may be quite volatile with some big hits and big misses. These stocks, equally weighted, have underperformed the broad stock market out-of-sample.

…non-financial firms with high levels of cash tend to use the cash for risky growth, earning higher average stock returns with higher beta. Trading frictions from rebalancing to capture the abnormal returns would tend to offset the alpha.

…options buyers (sellers) might want to tilt toward stocks with high (low) betas, large (small) market capitalizations, low (high) book-to-market ratios and significant (no) momentum.