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Investing Research Articles

3517 Research Articles

Aggregate Earnings and Stock Market Returns

…surprisingly strong (weak) aggregate earnings news, as an indicator of high (low) future inflation, may portend relatively low (high) future stock returns.

Follow the Leaders to Capture Short-term Abnormal Returns

…mimicking the most informative actions of outperforming investors/traders reliably generates abnormal short-term returns. Such behavior may explain some of the momentum effect.

The Sharpe Ratio: Blunted by Noise?

…the Sharpe ratio has such a high level of intrinsic variability that it is not a very reliable portfolio comparison tool.

Quantifying and Exploiting Long (Bull and Bear) Trends

…portfolio management based on statistically reliable characterization of the long-term trend of the stock market offers an economically significant advantage over approaches that ignore the long-term trend.

More Information is Better?

…individual investors should continually ask themselves whether their information gathering efforts support rational execution of new decisions, or merely feed overconfidence in past decisions.

Screening for Fear When Portfolio Building

…the volatility premium for individual stocks derives from volatilities implied by options prices rather than historical (realized) stock price volatilities. This premium may be concentrated in small growth stocks.

The Professor’s Forecast for the Indefinite Future…

The more we study it, the smaller it gets? Or, the act of studying risk diminishes the fear of it?

Can Real Estate Experts Provide Reliable Advice for Commercial Property Investing?

…it is doubtful that commercial real estate experts can accurately forecast returns from investments in commercial properties by type or location.

The (Dynamic) Meanings of Buy, Hold and Sell

…lead underwriter sell recommendations may be the only analyst calls worth tracking.

A Contrarian Play on Small Profitability Laggers?

…small capitalization stocks with low past profitability may be key to exploiting the size effect.