Investing Research Articles

Here is this Friday’s installment of Avoiding Investment Strategy Flame-outs, a short book we are previewing for subscribers. Chapter previews will continue for the next two Fridays. Chapter 7: “Thinking about Taxes” “To the extent that governments tax different kinds of income/investment returns (interest, dividends, long-term capital gains and short-term capital gains) differently, taxes may be decisive… Keep Reading

As of the end of 2012, we stopped adding forecasts to the Guru Grades database and published a preliminary report on findings. As of the end of 2013, we have completed the grading of all forecasts added during 2012 and now publish a final Guru Grades report. The final report encompasses 6,582 graded forecasts from 68… Keep Reading

Are momentum and trend-following strategies effective in tactical asset allocation to European equity sectors and countries? In the July 2013 version of their paper entitled “European Equity Investing Through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?”, Andrew Clare, James Seaton, Peter Smith and Steve Thomas apply momentum… Keep Reading

Here is this Friday’s installment of Avoiding Investment Strategy Flame-outs, a short book we are previewing for subscribers. Chapter previews will continue for the next three Fridays. Chapter 6: “Modeling at the Portfolio Level” “Evaluating strategies based only on trade-level performance, as often presented by trading advisory (“education”) services, may mislead. Some strategies concentrate opportunities, at times… Keep Reading

Do firm efforts to pay shareholders directly (via dividends) and indirectly (via share repurchases and paydown of debt) translate to stock outperformance? In their May 2012 paper entitled “Enhancing the Investment Performance of Yield-Based Strategies”, flagged by a subscriber, Wesley Gray and Jack Vogel compare aggregate performance statistics of stocks ranked by the following four progressively… Keep Reading

How do value and momentum interact with each other and with size, economic and liquidity factors worldwide? In the November 2013 version of their paper entitled “Size, Value, and Momentum in Developed Country Equity Returns: Macroeconomic and Liquidity Exposures”, Nusret Cakici and Sinan Tan address this question for developed markets. They use long-short, factor-sorted portfolios to measure… Keep Reading

Here is this Friday’s installment of Avoiding Investment Strategy Flame-outs, a short book we are previewing for subscribers. Chapter previews will continue for the next four Fridays. Chapter 5: “Checking for Market Adaptation” “The market is a complex system with many interacting parts, and external influences. As in other social settings, there are two aspects to market… Keep Reading

Does the limited supply of lendable shares substantially inhibit successful short selling? In the November 2013 draft of their paper entitled “In Short Supply: Equity Overvaluation and Short Selling”, Messod Beneish, Charles Lee and Craig Nichols examine the profitability of shorting U.S. stocks based on the supply of shares available for lending. They note that the… Keep Reading

Does stock pairs trading work reliably in the mature UK market? In their November 2013 paper entitled “Pairs Trading in the UK Equity Market: Risk and Return”, David Bowen and Mark Hutchinson examine the profitability of pairs trading in this market via overlapping portfolios. Each month, they normalize prices for all stocks in the universe… Keep Reading

How fast must attentive investors be to exploit the information in new releases of major sentiment and economic indicators? In their November 2013 paper entitled “Early Peek Advantage?”, Grace Xing Hu, Jun Pan, and Jiang Wang measure the impacts of Michigan Consumer Sentiment Index releases on E-mini S&P 500 futures volume and price with and… Keep Reading