Investing Research Articles

How and why do the value premium and size effect work? In their February 2011 paper entitled “Value and Size Puzzles: A Commented Survey”, Kateryna Shapovalova and Alexander Subbotin review and assess prior research on the value premium and size effect, which play key roles in the most widely use factor models of stock prices…. Keep Reading

Do online forums of arguably well-informed investors pay off for their members? In their February 2011 paper entitled “Talking Your Book: Social Networks and Price Discovery”, Wesley Gray and Andrew Kern study the sharing of valuation beliefs by professional investors via a social network. Specifically, they focus on ValueInvestorsClub.com, “designed to facilitate idea sharing among…250… Keep Reading

Has the academic community made practical progress in specifying asset allocation approaches that mitigate adverse impacts of multi-market crises (systemic risk) on diversified portfolios? Two recent papers address this question in complementary top-down and bottom-up ways. The February 2011 version of “Asset Allocation and Asset Pricing in the Face of Systemic Risk: A Literature Overview… Keep Reading

Do highly shorted stocks tend to underperform? If so, is this underperformance exploitable? In the February 2011 draft of their paper entitled “Short Sale Return Predictability Revisited: Anomaly or Return Mis-measurement?”, Zsuzsa Huszár and Wenlan Qian investigate the sources of negative returns associated with stocks that have high levels of short interest. They use short… Keep Reading

What is the state, from an investor’s perspective, of research on the power of accounting and fundamentals to predict stock returns? In their September 2010 paper entitled “Accounting Anomalies and Fundamental Analysis: A Review of Recent Research Advances”, Scott Richardson, Irem Tuna and Peter Wysocki present an overview of post-2000 research on accounting anomalies and… Keep Reading

Can Treasury Inflation-Protected Securities (TIPS), with principal indexed to the U.S. non-seasonally adjusted Consumer Price Index for all urban consumers (CPI), play a valuable role in asset class diversification? In the January 2011 draft of their paper entitled “Optimal Portfolio Choice in Real Terms: Measuring the Benefits of TIPS”, Alvaro Cartea, Jonatan Saul and Juan… Keep Reading

In their February 2011 book chapter entitled “Seasonal Anomalies”, Constantine Dzhabarov and William Ziemba describe, update and assess several published U.S. stock market anomalies, most of which are directly or indirectly calendar-driven. They update using returns for stock index futures as a low-friction approach to exploiting calendar anomalies. They acknowledge the possible materiality of data… Keep Reading

Is the number of institutional owners of a stock, arguably a proxy for general investor awareness and demand, an important factor in current and future pricing of the stock? In their February 2011 paper entitled “What Makes Stock Prices Move? Fundamentals vs. Investor Recognition”, Scott Richardson, Richard Sloan and Haifeng You investigate the role of… Keep Reading

Are there reliable lead-lag relationships among stock market returns, changes in the Federal Funds Rate (FFR) and changes in Treasury bond yields? In their February 2011 paper entitled “The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields”, Kun Guo, Wei-Xing Zhou, Si-Wei Cheng and Didier Sornette apply a new “thermal optimal… Keep Reading

Do options quote movements anticipate those of underlying stocks? In other words, are options traders systematically more informed than stock traders? In their January 2011 paper entitled “Is There Price Discovery in Equity Options?”, Dmitriy Muravyev, Neil Pearson and John Paul Broussard test the lead-lag relationship between the bid-ask ranges of equity options and the… Keep Reading