Investing Research Articles

…big up and down days appear to have some tendency to cluster, with such volatility clusters associated more with market bottoms than with continuing downtrends.

…a few outlier trading days have a massive impact on long-term stock returns, and attempting to forecast which days is a fool’s errand.

…stocks react to the surprise element in scheduled Federal Funds Rate announcements. There may be reliable trades in short-term continuation (reversal) of stocks after an initial spike down (up), especially for financial and information technology stocks.

…many eminent economists and political scientists believe that prediction markets could offer significant benefits to society and that government should remove barriers to their productive use.

…recent success (failure) leads to risk-taking (risk-avoidance) among mutual fund managers.

…firm accruals may be a good indicator of future stock returns when combined with a broader measure of firm financial health, or when defined as a fraction of earnings rather than assets.

…investors can significantly outperform the broad U.S. stock market by rotating into cyclical (noncyclical) sectors when the Federal Reserve discount rate begins falling (rising).

…sloppiness in applying statistics can lead to severe misestimates of variability. People should rely on definitions, not intuitions, in assessing volatility.

…volatility-based portfolio strategies derive their effectiveness from: (1) the difference between realized volatility and implied volatility ; and, (2) the difference between call-implied volatility and put-implied volatility.

Does strong (weak) past growth in a company’s total assets predict high (low) future stock returns? Or, does investor overreaction to past data predict the opposite? In the July 2007 update of their paper entitled “Asset Growth and the Cross-Section of Stock Returns”, flagged by a reader, Michael Cooper, Huseyin Gulen and Michael Schill examine… Keep Reading