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3502 Research Articles

Classic Research: Embrace Risk, But Take Profits

…traders can outperform by entering positions when volatility spikes and then taking profits quickly.

Finding Memes for Contrarian or Trend-following Plays

…rapid meme detection via Internet-enabled technologies may offer an edge for tuned-in traders.

Out-of-Sample Test for a Stock Market Model

…investors/traders may pivot on earnings, but appear to react to the inflation rate rather than interest rates.

Should Equity Investors Hope for Good or Bad Economic Forecasts?

…equity investors should be contrarian when considering economic forecasts. Bad is good.

The Frailty of the Size Effect?

…the empirical evidence for the size effect is superficially consistent, but frail at closer inspection. The size effect is not “dead,” but it is ailing.

(Not) Capturing the Elusive Value Premium

…the bid-ask spread, transaction costs and the price impact of trading make the value premium in small-capitalization stocks hard to capture. The prey is generally too elusive for mutual funds and indexes.

No Reward for Risk?

…exceptionally volatile stocks are on average inferior investments, or at least trades. There is no reward for this kind of risk, and presently no explanation for this effect.

Last Nail in the Coffin of the Fed Model?

…practitioners who use the Fed Model are simpletons. The model is theoretically implausible and empirically challenged.

Classic Research: Mean Reversion in Corporate Profitability

…corporate profitability and earnings growth exhibit non-linear mean reversion.

Can Individual Investors Enhance Returns with Options?

…investing in options as a marginal enhancement to a buy-and-hold approach can improve returns and Sharpe ratios, but only if the options positions are small compared to overall portfolio size.