Investing Research Articles

…the buy recommendations of columnists in prominent business magazines on average underperform an equal-weighted benchmark over the weeks, months and first year after publication. Columnists in Forbes tend to outperform those in Business Week and Fortune.

…options for stock indexes are expensive compared to options for the average individual stock, and options for small and value stocks are expensive compared to options for large and growth stocks. Hedge portfolios exploiting these differences may offer abnormal returns.

…investors can concentrate the informed signals of short sellers by locating stocks with high short interest and low institutional ownership, and an increasing ratio of short interest to institutional ownership.

…change in non-farm employment by itself does not offer enough short-term explanatory power with respect to the stock market to justify trading on the announcement.

Because of the uncertainties involved in choosing stocks, investors/traders are constantly seeking affirmation of their picks. One place they go for affirmation is Jim Cramer’s Mad Money on CNBC. When you get Jim Cramer’s blessing, you’ve got an edge. Your returns will be better than those of your too-good-for-Cramer peers. Or will they? We construct… Keep Reading

…while dominant factors may be common, different groups of stocks require different factor models to explain the variation in returns among individual stocks within them.

…investors are willing to pay a premium to protect themselves from crashes in individual stocks. Systematically selling puts on individual stocks, with sufficient leverage, can enhance equity portfolio performance.

…Jim Cramer’s buy (sell) recommendations tend to gap up (down) overnight to a degree inverse to market capitalization and then level off or reverse over the next few weeks. In general, investors cannot capture the gaps. The best play for traders is to buy Cramer-initiated small-cap sell recommendations within a few days and wait for reversal over the next few weeks.

We evaluate here the weekly commentary of Merrill Lynch’s Bob Doll from January 2003 (the earliest available) through September 2006. Bob Doll was President and CIO of Merrill Lynch Investment Managers, the firm’s asset management arm. With the October 2006 merger of this group with Blackrock Inc., Mr. Doll’s commentary for Merrill Lynch is discontinued. The… Keep Reading

…a five-factor model effectively explains differences among individual stock returns, with volatility of past returns at least as important as size, value and momentum factors.