International Test of Momentum Strategies
January 22, 2009 - Momentum Investing
…medium-term momentum investing may be profitable in most, but not all, international equity markets.
January 22, 2009 - Momentum Investing
…medium-term momentum investing may be profitable in most, but not all, international equity markets.
January 20, 2009 - Fundamental Valuation
…Profit from the Peak offers a range of stock recommendations to exploit a long-term energy shortage, but historical data suggest that a portfolio constructed from these stocks may be quite volatile with some big hits and big misses. These stocks, equally weighted, have underperformed the broad stock market out-of-sample.
January 16, 2009 - Fundamental Valuation
…non-financial firms with high levels of cash tend to use the cash for risky growth, earning higher average stock returns with higher beta. Trading frictions from rebalancing to capture the abnormal returns would tend to offset the alpha.
January 15, 2009 - Equity Options, Volatility Effects
…options buyers (sellers) might want to tilt toward stocks with high (low) betas, large (small) market capitalizations, low (high) book-to-market ratios and significant (no) momentum.
January 14, 2009 - Buybacks-Secondaries, Fundamental Valuation
…the professional investors at ValueInvestorsClub.com on average successfully identify and exploit value opportunities by focusing mostly on mismatches between stock price and intrinsic value.
January 13, 2009 - Sentiment Indicators
…evidence from a few tests does not support a belief that trend reversals in the 10-day lagging average S&P 500 index put-call ratio predicts reversals in the level of the S&P 500 index.
January 7, 2009 - Fundamental Valuation, Investing Expertise
…recent S&P 500 aggregate bottoms-up earnings growth estimates have often been highly variable and substantially inaccurate.
January 2, 2009 - Individual Gurus
…investors should not expect the typical “expert” to outperform a simple extrapolation of the long-term trend in forecasting the level of a broad stock market index one year ahead.
December 19, 2008 - Buybacks-Secondaries
…evidence for the management compensation (rather than reward for shareholders) motivation for open market stock buybacks is mounting, causing investors to pay less attention to buybacks.
December 16, 2008 - Fundamental Valuation, Political Indicators
…stock market P/E and presidential approval rating are significantly intertwined.