Investing Research Articles

…simple analyses suggest that the TOTM effect may help reduce the loss frequency and average in-the-money expiration loss for selling index put options.

…investors may be able to predict which stocks are headed for substantial declines the next year as management efforts to keep the the price propped up fail.

How many stocks within an equity fund manager’s portfolio represent truly “passionate” (high-conviction) picks? Do passionate picks outperform the diversifying “fillers” in the portfolio, and the market in general? In the March 2009 version of their paper entitled “Best Ideas”, Randy Cohen, Christopher Polk, and Bernhard Silli attempt to identify which holdings in equity mutual… Keep Reading

…limited evidence suggests that investors who rely on fundamental valuation should consider using comparables (valuation multiples) based on harmonic means of several years of historical data as forecast drivers.

The intended characteristics of leveraged and inverse exchange-traded funds (ETF) are obvious. Do they have unintended characteristics that may make them unsuitable for some investors? In their April 2009 paper entitled “The Dynamics of Leveraged and Inverse-Exchange Traded Funds”, Minder Cheng and Ananth Madhavan investigate the dynamics, market impacts, unusual features and investor suitability of… Keep Reading

Do individual investors who trade equity options do better or worse than those who do not? In their October 2008 paper entitled “Option Trading and Individual Investor Performance”, Rob Bauer, Mathijs Cosemans and Piet Eichholtz examine the impact of option trading on individual investor performance. Using all daily trades and end-of-month portfolio positions for 68,146… Keep Reading

What kinds of returns do options traders actually achieve? In their January 2009 paper entitled “Investor Trading Behavior and Performances: Evidence from Taiwan Stock Index Options”, Bing Han, Yi-Tsung Lee and Yu-Jane Liu examine trading behavior and net returns for all traders of Taiwan stock index options. Using the complete record of transactions, orders and… Keep Reading

…a long options collar on a broad ETF generally outperforms the ETF over the past decade, and a return decomposition indicates that it also outperforms the ETF with protective puts.

…very limited evidence shows that the actual leverages of leveraged ETFs vary considerably from their short-term design values over extended holding periods.

…Outliers presents transformations of context to explain, retrospectively, why (positive) outliers in human performance are not really outliers but rather logical results of a “patchwork of lucky breaks and arbitrary advantages.” The book offers no proofs (or even examples) of the predictive power of the beliefs it advocates.