Investing Research Articles

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

…stock market returns fluctuate away from, and revert to, a running mean on a roughly annual basis.

…investors should avoid stocks with high short interest ratios.

…individual investors systematically show attention-driven herd-like behaviors.

…a high level of trading activity usually underperforms.

…just because there is a crowd of traders does not mean there is wisdom.

…Burton Malkiel continues to believe that the stock market is inexploitably efficient.

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:

…consumer confidence is not a worthwhile indicator for stock market investors and traders.

…careful screening of value stocks using accounting fundamentals may be able to enhance returns significantly.