A Drag on Capitalization-weighted Portfolios?
May 23, 2008 - Size Effect
…statistical analysis of stock pricing noise explains both a size effect and an advantage of equal-weighted portfolios over capitalization-weighted portfolios.
May 23, 2008 - Size Effect
…statistical analysis of stock pricing noise explains both a size effect and an advantage of equal-weighted portfolios over capitalization-weighted portfolios.
May 22, 2008 - Economic Indicators
…an oil price shock can be good, bad or indifferent for the overall U.S. stock market according to the cause of the shock. A shock driven by global economic expansion is a good sign for stocks.
May 20, 2008 - Fundamental Valuation, Investing Expertise
…Regulation FD and the Global Analyst Research Settlements helped reduce earnings forecast bias by neutralizing conflicts of interests for equity analysts.
May 19, 2008 - Technical Trading
…testing indicates that the daily stated positions for the next trading day from Palisades Research have no power to predict next-day stock market returns.
May 16, 2008 - Mutual/Hedge Funds
…investors who believe that they can find fund managers who reliably generate alpha should consider the enhanced alpha for higher fee trade-off of 130/30 funds.
May 13, 2008 - Investing Expertise
…investors should beware of the favorite equity investments of stock market newsletter gurus. Many favorites may be swing-for-the-fences speculations.
May 9, 2008 - Economic Indicators, Fundamental Valuation
…inflation shocks significantly affected the U.S. stock market over the past half century, with disinflation (inflation) shocks increasing (decreasing) stock prices and promoting boom (bust) conditions.
May 7, 2008 - Animal Spirits, Momentum Investing
…traders may be able to exploit an attention-driven anomaly for very high momentum stocks by going long from five days before to the morning after earnings announcement and short the next five days.
May 6, 2008 - Economic Indicators
…while of little value to traders, the industrial production (output) gap may have some meaningful predictive power for broad U.S. stock returns over relatively long periods.
May 1, 2008 - Commodity Futures
…large speculators in commodity futures generally do make money by exploiting risk premiums derived from the theory of storage (and perhaps from momentum trading).