The Real Calendar Effects?
April 27, 2010 - Calendar Effects
…evidence from joint tests support a belief that the Halloween effect and the turn-of-the-month effect are the “real” calendar effects.
April 27, 2010 - Calendar Effects
…evidence from joint tests support a belief that the Halloween effect and the turn-of-the-month effect are the “real” calendar effects.
April 26, 2010 - Momentum Investing, Technical Trading
…evidence from simple tests indicates that the momentum anomaly is substantial and persistent over long periods for industries/asset classes on a gross return basis.
April 23, 2010 - Big Ideas, Fundamental Valuation, Momentum Investing, Value Premium
…evidence indicates that many (but not all) well-known stock return anomalies derive their profitability from short positions in firms with low credit ratings during deteriorating credit conditions, with shorting constraints and illiquidity limiting exploitation.
April 22, 2010 - Equity Premium, Volatility Effects
…evidence suggests that fear of disasters accounts for large fractions, perhaps most on average, of both the equity risk premium and the volatility risk premium.
April 21, 2010 - Currency Trading, Technical Trading
…evidence from tests of an extensive set of technical trading rules as applied to emerging foreign exchange markets indicates that profitability of technical analysis, after correcting for data snooping bias, may be illusory.
April 20, 2010 - Individual Gurus, Technical Trading
…evidence from simple tests does not support a belief that The Mutual Fund Strategist timing signals beat simple free timing signals based on a 200-day simple moving average.
April 19, 2010 - Fundamental Valuation, Momentum Investing, Technical Trading
…investors may be able to boost momentum returns for individual stocks substantially by incorporating information from past trading volume and detailed analysis of firm fundamentals.
April 17, 2010 - Fundamental Valuation
…tailored fundamental analysis may be able to identify growth stock mispricing and earn substantial abnormal returns.
April 16, 2010 - Calendar Effects
“Does it really help to wait a half hour (or whatever) before trading?”
April 16, 2010 - Animal Spirits, Fundamental Valuation
…The Little Book of Behavioral Investing is a broad survey of behavioral biases and countermeasures as related to financial markets, especially for value investors. The self-awareness espoused may be as important to successful investing as valuation methods.