Loss of Momentum?
March 8, 2007 - Momentum Investing
…the stock return momentum effect wasn’t there, then it was there for a long time, and now it’s gone.
March 8, 2007 - Momentum Investing
…the stock return momentum effect wasn’t there, then it was there for a long time, and now it’s gone.
March 6, 2007 - Individual Investing
…it is very difficult for individual investors to beat the market. Infrequent trading and lower-risk holdings have been key to relative outperformance since 2000.
March 5, 2007 - Buybacks-Secondaries
Are company stock buybacks equivalent to cash dividends for stockholders? Conversely, are company sales of stock “undividends” for stockholders? A forthcoming article in the April 2007 Journal of Finance addresses these questions. In the underlying September 2005 paper entitled “On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing”, Jacob Boudoukh, Roni Michaely,… Keep Reading
March 1, 2007 - Animal Spirits
…there is no reliable weather-sun-moon risk premium.
February 28, 2007 - Volatility Effects
…implied or expected volatility (VIX) should tentatively be viewed as a fifth factor in modeling stock returns because it affects them both directly in a multi-factor model and indirectly through the other risk factors.
February 23, 2007 - Mutual/Hedge Funds
…only about 20% of all hedge funds have produced after-fee returns that clearly beat those of statistical replicants that mechanically trade a basket of liquid futures contracts.
February 21, 2007 - Animal Spirits, Cartoons
As the esteemed, erudite chorus of the downside constantly reminds us, Bear Claus…
February 20, 2007 - Fundamental Valuation, Investing Expertise
…analysts tend to walk their earnings forecasts down as release of actuals approaches, and this walk-down effect is stronger for analysts that have good relationships with management.
February 16, 2007 - Investing Expertise
…naive customers for services with outcomes for which it is hard to distinguish skill from luck will attract and sustain a diverse set of quacks.
February 14, 2007 - Investing Expertise, Sentiment Indicators
…the stocks of companies least admired by the ostensibly well-informed may well outperform the stocks of the companies most admired.