Investing Research Articles

…some risk-tolerant investors successfully exploit significant informational advantages by concentrating their portfolios in a few stocks that they know well.

…capitalization-weighted portfolios/funds are inherently underperforming.

…if you consider analyst recommendations when picking stocks, you really should check for investment banking conflicts. Better yet, just ignore the analysts.

…underperformance of high short interest stocks may be limited to those with high levels of informed (non-arbitrage, non-noise) trading.

…the higher the probability that trading in a stock is informed, the greater the size and persistence of stock price movement.

…short selling shocks move stock prices ipso facto. They are news in and of themselves. In the absence of contrary information or reactive strategies, investors should avoid short-shocked stocks.

…this research suggests that investors should be inclined to sell speculative U.S. stocks in late spring and buy them in the fall.

…reasonably isolated attention-grabbing events are opportunities for profitable day trading.

In his June 2004 paper on “What Are Stock Investors’ Actual Historical Returns”, Ilia Dichev examines stock market capital inflows and outflows to determine how well investors really perform compared to buy-and-hold returns. He concludes that:

…investing in actively managed funds is a loser’s game. Professional fund managers cannot systematically find and exploit market inefficiencies.