Investing Research Articles

…hedge funds in aggregate exploit a few of the “famous” anomalies, but they apparently have other methods of generating abnormal returns.

…some anomalies are stronger and more consistent than others. Momentum appears to be the strongest and most consistent.

…investors may be able to generate substantial abnormal returns by combining the effects of earnings and accruals surprises, qualified by overall firm operating performance.

…the UBS/Gallup Investor Optimism Index is modestly reactive to recent stock market behavior, but it has no predictive power for stock returns (even before its release to the public).

…value and momentum investing may work across a broad range of asset classes, and the two effects are independent enough that combining them may yield incremental outperformance.

…investors may find edges by considering both the levels of and changes in analyst stock ratings, with the combination more powerful than the separate indications.

…monthly returns for mid-term to long-term Treasuries exhibit a seasonality that is roughly the mirror image of that for stock returns, with November standing out as an exception (strong for stocks and Treasuries).

…expect more dynamic strategies [such as 130% long/30% short] to become passive benchmarks as the investor base becomes more sophisticated and demanding.

…this book is a generally accessible challenge to the widespread use of Gaussian statistics as tools of prediction in socioeconomics (encompassing investing). With strong emphasis on intractable uncertainty, it is necessarily parsimonious and vague regarding advice to investors.

…mutual fund timers on average underperform passive buy-and-hold mutual fund investors. Investors who use fund-compensated investment advisors exhibit particularly bad timing.