Investing Research Articles

…there is no reliable weather-sun-moon risk premium.

…implied or expected volatility (VIX) should tentatively be viewed as a fifth factor in modeling stock returns because it affects them both directly in a multi-factor model and indirectly through the other risk factors.

…only about 20% of all hedge funds have produced after-fee returns that clearly beat those of statistical replicants that mechanically trade a basket of liquid futures contracts.

As the esteemed, erudite chorus of the downside constantly reminds us, Bear Claus…

How do analyst earnings forecasts vary across financial reporting periods? Does the desire of analysts to maintain a good relationship with firm management affect earnings forecasts? In their February 2007 paper entitled “Relationship Incentives and the Optimistic/Pessimistic Pattern in Analysts’ Forecasts”, Robert Libby, James Hunton, Hun-Tong Tan and Nicholas Seybert report the results of controlled… Keep Reading

Suppose quack financial advisors offered their services to naive investors. What would happen? In the December 2005 version of his paper entitled “The Market for Quacks”, Ran Spiegler applies game theory to a scenario that fits by analogy. He imagines a group of “quacks” in a price competition to attract and retain “patients” who recover… Keep Reading

…the stocks of companies least admired by the ostensibly well-informed may well outperform the stocks of the companies most admired.

…the small positive alpha of hedge funds in aggregate is likely to move toward the negative alpha of the mutual fund industry in the coming years.

Is aggregate investor sentiment a useful trading indicator? For what kinds of stocks is sentiment trading most likely to work? In their December 2006 paper entitled “Investor Sentiment in the Stock Market”, Malcolm Baker and Jeffrey Wurgler summarize a top down approach to addressing these questions, focusing on the measurement of aggregate sentiment and its… Keep Reading

When the market trend challenges their beliefs, what do we hear from market “experts?”