Expansive Value vs. Growth Update
November 25, 2008 - Value Premium
…the value premium among stocks is persistent across value indicators, time, market capitalizations and geographical markets.
November 25, 2008 - Value Premium
…the value premium among stocks is persistent across value indicators, time, market capitalizations and geographical markets.
November 24, 2008 - Investing Expertise, Mutual/Hedge Funds
…among a broad sample of actively managed mutual funds, stock picking makes a greater contribution to returns than sector allocation. The average contributions to fund returns from market-sectors-stocks are 79%-9%-12%.
November 21, 2008 - Big Ideas
Both EMH and BSH challenge at fundamental levels the continuity of relationships between/among financial variables…
November 20, 2008 - Mutual/Hedge Funds
…ETFs offer easy and unique (even leveraged) access to a wide range of asset class/market/style/sector indexes. The 17% of ETFs that compete directly with index mutual funds perform similarly to, or perhaps slightly better than, those mutual funds.
November 17, 2008 - Big Ideas
…raw stock returns for firms in new U.S. industries tend on average to be positive and substantial, but very concentrated among a few companies. Risk-adjusted returns for new industries mostly match or underperform the broad U.S. stock market over their first 15-20 years.
November 13, 2008 - Big Ideas
…investors should probably use the excess market return (beta), size and liquidity factors in explaining and predicting individual stock returns, but not the book-to-market ratio (value factor) or other commonly used stock/firm-specific factors.
November 12, 2008 - Calendar Effects
…evidence indicates that an up/down January is predictive of February-December outperformance/underperformance for the broad U.S. stock market (but not for most other equity markets). However, it may not support an effective market timing strategy as a standalone signal.
November 10, 2008 - Volatility Effects
…VIX is a roughly mean-reverting and asymmetrical measure of the price of stock portfolio insurance, and that price is empirically reasonable.
November 7, 2008 - Economic Indicators, Fundamental Valuation
Do long-term stock market timing models work? If so, which type works best? In their October 2005 paper entitled Timing is Everything: A Comparison and Evaluation of Market Timing Strategies, Chris Brooks, Apostolos Katsaris and Gita Persand investigate the profitability of several timing models over a very long sample of S&P 500 index returns. Specifically,… Keep Reading