50-Year Fed Model Meme?
November 12, 2004 - Fundamental Valuation
…the Fed Model has worked pretty well starting about 1960, with interest rates since playing a key role in stock valuation.
November 12, 2004 - Fundamental Valuation
…the Fed Model has worked pretty well starting about 1960, with interest rates since playing a key role in stock valuation.
November 10, 2004 - Equity Premium, Fundamental Valuation
In their June 2003 paper entitled “A General Theory of Stock Market Valuation and Return”, Christophe Faugere and Julian Van Erlach contend that past stock returns are overstated and develop a market valuation formula that out-fits the Fed Model. Specifically, they show that:
November 8, 2004 - Fundamental Valuation
In his May 2002 paper entitled “Market Timing Strategies that Worked”, Pu Shen evaluates the effectiveness of the spreads between the S&P 500 index earnings yield (the earnings/price ratio or E/P) and the yields on 10-year Treasury notes (T-note) and 3-month Treasury bills (T-bill) as market timing indicators. By constructing “horse races” between switching strategies… Keep Reading
November 3, 2004 - Big Ideas
…stock market returns fluctuate away from, and revert to, a running mean on a roughly annual basis.
November 1, 2004 - Short Selling
…investors should avoid stocks with high short interest ratios.
October 30, 2004 - Animal Spirits
…individual investors systematically show attention-driven herd-like behaviors.
October 29, 2004 - Individual Investing
…a high level of trading activity usually underperforms.
October 27, 2004 - Sentiment Indicators
…just because there is a crowd of traders does not mean there is wisdom.
October 23, 2004 - Big Ideas
…Burton Malkiel continues to believe that the stock market is inexploitably efficient.
October 22, 2004 - Individual Investing
Could we make a bundle day trading? In their May 2004 paper entitled “Do Individual Day Traders Make Money? Evidence from Taiwan”, Brad Barber, Yi-Tsung Lee, Yu-Jane Liu and Terrance Odean assess the success of day traders in the Taiwan stock market. Using detailed individual trading records, they find that: