Australian Stock Market Anomalies
July 24, 2007 - Size Effect, Value Premium
…the Australian stock market offers several historical anomalies, most notably size and negative earnings-to-price, that investors/traders may be able to exploit.
July 24, 2007 - Size Effect, Value Premium
…the Australian stock market offers several historical anomalies, most notably size and negative earnings-to-price, that investors/traders may be able to exploit.
July 20, 2007 - Mutual/Hedge Funds
…real active management consists not of the selection of portfolio assets but rather the decisions to change the weights of these assets within the portfolio.
July 16, 2007 - Mutual/Hedge Funds, Volatility Effects
…low volatility of returns is key to identifying persistent outperformance among hedge funds.
July 13, 2007 - Sentiment Indicators, Technical Trading
…the TradingMarkets 5% VIX rule is of limited practical use and does not support a standalone trading strategy that keeps up with buy-and-hold.
July 12, 2007 - Investing Expertise
Via the semiannual Livingston Survey, the Federal Reserve Bank of Philadelphia solicits forecasts for the S&P 500 index (and many other U.S. economic measures) from economists in industry, government, banking and academia. How good are their forecasts? In his June 2007 paper entitled “Predicting Stock Price Movements: Regressions versus Economists”, Paul Soderlind examines the aggregate… Keep Reading
July 9, 2007 - Animal Spirits, Value Premium
…the persistent and robust multi-year reversal of returns observed among UK stocks supports the view that investors overreact to price trends of the past few years, driving good (poor) performers too high (low).
July 6, 2007 - Big Ideas
…because the most informed players have the latitude to delay showing their hands during business expansions, the power of widely used indicators of future stock returns emerges predominantly during recessions.
June 28, 2007 - Big Ideas, Equity Premium
…a dynamic and flexible model of long-term equity returns that accommodates structural breaks improves predictive power, at the cost of considerable complexity.
June 27, 2007 - Equity Options
…a strategy of systematically selling index put options generates on average large abnormal returns but suffers occasional very large setbacks when the underlying index plunges.
June 27, 2007 - Individual Gurus - Guru Accuracy: 68%
As suggested by a reader, we evaluate here the market commentary of David Nassar via MarketWatch for November 2004 through May 2006. David Nassar is the chairman and chief executive of MarketWise.com, “a company built by traders and investors offering quality university level education with enduring benefits.” Their mission is “to support traders and investors… Keep Reading