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Investing Research Articles

3526 Research Articles

Are Bad Weeks (Months) Followed by Bad or Good Ones?

…the stock market after a bad week (month) exhibits neither momentum nor reversal reliably the following week (month).

The Predictive Power of the Put-Call Ratio for Individual Stocks

…put-call option ratios as defined have significant predictive power for individual stocks, with high (low) ratios indicating short-term underperformance (outperformance). However, this effect relates predominately to data that is not publicly available. Also, the effect does not work for index options.

Effects of Inflation Rate Trend and Volatility on Stock Returns

…investors/traders appear not to consider recent inflation rate trend or volatility in deciding whether to buy or sell stocks.

Using Firm Productivity Measures to Enhance Stock Returns

…combining a value investing style with a screen for high return on invested capital (productivity) may yield very high-performing portfolios.

Hiring and Firing Investment Managers

…the sponsors of retirement/endowment plans show little timing ability in hiring and firing investment managers. There is some evidence that more sophisticated sponsors (of large plans and of plans that invest internationally) make better decisions.

Organizing Financial Markets Research

…the uses of empirical research on financial markets derive in large measure from sampling frequency (supporting either short-term or long-term prediction) and sample duration (supporting either reliable or unreliable inference).

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.