Technical Analysis: “Anathema to the Academic World”?
April 25, 2007 - Technical Trading
…there is no evidence of any systematic intraday inefficiencies in SPDR data.
April 25, 2007 - Technical Trading
…there is no evidence of any systematic intraday inefficiencies in SPDR data.
April 24, 2007 - Value Premium
…the most liquid stocks on average outperform, and this liquidity effect may be central to the value premium.
April 23, 2007 - Volatility Effects
Stocks with high historical volatility should produce high returns as reward for extra risk. Shouldn’t they? In the April 2007 version of their paper entitled “The Volatility Effect: Lower Risk without Lower Return”, David Blitz and Pim van Vliet examine the relationship between long-term (past three years) historical return volatility and risk-adjusted return for stocks… Keep Reading
April 19, 2007 - Technical Trading
Does the head-and-shoulders stock price pattern embody investor attitudes that traders can exploit to earn abnormal returns? Or, does it represent an opportunity for the statistics-challenged to be fooled by randomness? In their October 2006 paper entitled “The Predictive Power of ‘Head-and-Shoulders’ Price Patterns in the U.S. Stock Market”, Gene Savin, Paul Weller and Janis… Keep Reading
April 18, 2007 - Technical Trading
…neither bullish nor bearish candlestick signals reliably generate abnormal returns in the expected direction for large-capitalization U.S. stocks during recent years.
April 17, 2007 - Investing Expertise
How does “the group that is arguably best qualified, finance professors, …assess the importance of valuation techniques, asset-pricing models, market anomalies, firm characteristics, corporate events, seasonal variables, and other information” when they invest for themselves? In their April 2007 paper entitled “What Really Matters When Buying and Selling Stocks?”, James Doran and Colby Wright seek… Keep Reading
April 11, 2007 - Value Premium
…investors have expected a fairly stable value premium of about 6% per year over the past 60 years, derived mostly from growth in dividends.
April 10, 2007 - Big Ideas
…there is considerable redundancy and invalidity among the many factors used to explain differences in returns among individual stocks. Three factors may be necessary and sufficient, with liquidity the most influential.
April 9, 2007 - Animal Spirits
…investors systematically overvalue (undervalue) stocks when they expect earnings per share to be low (high). Their expectations exhibit conservatism bias with respect to both the downside and upside extremes.
April 4, 2007 - Animal Spirits
…status may be more powerful than wealth as a motivator, with significant implications for investor/trader behavior.