Investing Research Articles

In their March 2011 paper entitled “The Shrinking Space for Anomalies”, George Jiang and Andrew Zhang investigate the robustness of ten well-known anomalies by iteratively “shrinking the stock space” in two ways to determine whether and how the anomalies really work. The ten anomaly variables are: size, book-to-market ratio, momentum, two liquidity measures, idiosyncratic volatility,… Keep Reading

What is a financial market anomaly? How can investors determine whether an apparent anomaly is real (economically material)? In his March 2011 book chapter entitled “Perspectives on Capital Market Anomalies”, Mozaffar Khan provides a framework for interpreting academic research on anomalies and evaluating the exploitability of specific anomalies. His context is market efficiency: “Respect for… Keep Reading

Are Chief Financial Officers (CFO) better informed than Chief Executive Officers (CEO) when it comes to trading the stocks of their companies? In their March 2011 paper entitled “Are CFOs’ Trades More Informative than CEOs’ Trades?”, Weimin Wang, Yong-Chul Shin and Bill Francis investigate whether open market trades made by CFOs are better predictors of… Keep Reading

How do widely recognized stock return anomalies (return variations unexplained by asset pricing models) mesh with efficient portfolio selection theory? In their paper entitled “Investing in Stock Market Anomalies”, Turan Bali, Stephen Brown and Ozgur Demirtas examine five prominent stock market anomalies whose existence is robust through time and across markets (size, book-to-market, short-term reversal,… Keep Reading

What accounts for the persistence in diversity of investor beliefs and behaviors? Why does logical inference from common data not drive common attitudes and actions? In their March 2011 paper entitled “Serotonin and Risk Taking: How Do Genes Change Financial Choices?”, Camelia Kuhnen, Gregory Samanez-Larkin and Brian Knutson investigate differences in investing beliefs and behaviors… Keep Reading

Does momentum not work for Japanese equities? In his March 2011 paper entitled “Momentum in Japan: The Exception that Proves the Rule”, Clifford Asness examines whether the failure of stock price momentum in Japan materially undermines belief in momentum investing. He argues that any such examination should adopt the context of value and momentum as… Keep Reading

We evaluate here the stock market commentary of the Cabot Market Letter, published by Cabot Heritage Corporation and currently edited by Michael Cintolo, via MarketWatch.com since late 2002. The available sample encompasses three editors. The Cabot Market Letter “provides expert market timing and a Model Portfolio for traditional growth investors. …Cabot Market Letter has been… Keep Reading

Can diversification via allocations to volatility-related securities enhance the absolute and risk-adjusted returns of equity portfolios? In other words, can investors construct useful asset classes from equity volatility? In their early 2010 paper entitled “Volatility Exposure for Strategic Asset Allocation”, Ombretta Signori, Marie Briere and Alexandre Burgues investigate potential benefits to long-term U.S. equity investors… Keep Reading

Are there internal or external signals that predict financial market panic attacks? In the February 2011 revision of their paper entitled “Predicting Economic Market Crises Using Measures of Collective Panic” (flagged by a reader), Dion Harmon, Marcus de Aguiar, David Chinellato, Dan Braha, Irving Epstein and Yaneer Bar-Yam investigate whether indications of the interplay between… Keep Reading

Which firm fundamentals predict associated stocks returns, and which ones do not? In their February 2011 paper entitled “Returns Premia on Company Fundamentals”, Kateryna Shapovalova, Alexander Subbotin and Thierry Chauveau assess the significance, stability and interplay of excess returns for individual stocks as predicted by widely used firm fundamentals. Specifically, they consider: book-to-price ratio; earnings-to-price… Keep Reading