Investing Research Articles

…evidence suggests that investors employing hedge momentum strategies may want to adjust the level of hedging (long past winners versus short past losers) according to portfolio risk level.

…simple U.S. stock market valuation metrics currently indicate (perhaps extreme) undervaluation, but these indications involve considerable uncertainty.

…claiming options on ETFs as Section 1256 contracts appears risky pending a specific IRS ruling. Those considering doing so should consult their tax advisors…

A reader requested comments on the paper “Why Do Closed-End Bond Funds Exist?” by Edwin Elton, Martin Gruber, Christopher Blake and Or Shachar. This study investigates the unique aspects of closed-end bond funds using characteristics and performance data mostly from 1996-2006 for two samples: (1) 54 pairs of closed-end and open-end bond funds matched for… Keep Reading

Should investors go with or against asset pricing bubbles? Or, should they step aside and await a “Return to Normalcy?” In their December 2009 paper entitled “Riding Bubbles”, Nadja Guenster, Erik Kole and Ben Jacobsen investigate empirically the best approach for investors to take regarding active asset bubbles. They detect bubbles within rolling historical 10-year… Keep Reading

…results from simple tests do not support a belief that an investor can readily filter good and bad daily stock market returns based on the level of realized volatility.

…large investors may be able to exploit short-term reversals in individual stock returns by focusing on large capitalization stocks and rebalancing based on return analysis rather than fixed interval.

As suggested by a reader, we evaluate here Steve Sjuggerud’s commentary on the U.S. stock market via the DailyWealth archive since October 2005. DailyWealth is an informational service of Stansberry & Associates Investment Research, which is owned by or affiliated with Agora Inc. Stansberry & Associates Investment Research also offers Steve Sjuggerud’s True Wealth, “a… Keep Reading

…potential issues regarding sample size, data quality, data snooping bias and look-ahead bias undermine belief in this study’s conclusion that changes in the population for age nine in the U.S. accurately predict U.S. stock market returns. Also, smoothing rules applied in variable construction obscure exploitability.

…evidence indicates that investors may be able to exploit gross profits-to-assets as a predictor of individual stock returns, especially within industry. The effect is comparable in magnitude and complimentary to book-to-market, such that combining them is especially powerful.