Should Equity Investors Hope for Good or Bad Economic Forecasts?
February 6, 2006 - Economic Indicators
…equity investors should be contrarian when considering economic forecasts. Bad is good.
February 6, 2006 - Economic Indicators
…equity investors should be contrarian when considering economic forecasts. Bad is good.
February 3, 2006 - 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.
February 2, 2006 - Size Effect, 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.
January 26, 2006 - Volatility Effects
…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.
January 24, 2006 - Fundamental Valuation
…practitioners who use the Fed Model are simpletons. The model is theoretically implausible and empirically challenged.
January 12, 2006 - Fundamental Valuation
…corporate profitability and earnings growth exhibit non-linear mean reversion.
January 9, 2006 - Equity 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.
January 7, 2006 - Big Ideas
…the power law distribution of sizes of large investors, along with the optimal trading behavior of those investors, explains the excess volatility observed in asset markets.
January 6, 2006 - Big Ideas
“…[T]he human mind has a predilection for rampant, uncontrolled induction, and it requires much education to overcome this.”
December 28, 2005 - Big Ideas
“The variables that economists have found to be associated with increases in per capita income, to sum up, fall under two headings: investment and institutions.”