Investing Research Articles

Does a stock momentum strategy selecting only persistent winners and losers work better than a conventional strategy that includes one-month wonders? In their August 2015 paper entitled “Persistency of the Momentum Effect: The Role of Consistent Winners and Losers”, Hong-Yi Chen, Pin-Huang Chou and Chia-Hsun Hsieh examine stock momentum persistence as a condition for momentum portfolio construction. They define the momentum… Keep Reading

Are readily available crowdsourced firm earnings estimates and stock sentiment measurements exploitable? In the September 2015 revision of their paper entitled “Tweet Sentiments and Crowd-Sourced Earnings Estimates as Valuable Sources of Information Around Earnings Releases”, Jim Kyung-Soo Liew,  Shenghan Guo and Tongli Zhang investigate whether earnings estimates from Estimize and sentiment measurements from iSentium usefully predict stock behavior after earnings announcements. Estimize aggregates inputs… Keep Reading

How can investors best exploit research showing that low-beta (high-beta) stocks tend to outperform (underperform)? In their August 2015 paper entitled “Low-Beta Investment Strategies”, Olaf Kornz and Laura-Chloe Kuntz test 32 “zero-cost” (long-short) strategies designed to exploit the beta anomaly as applied to S&P 500 stocks. The strategies derive from three choices: (1) length of the rolling window used… Keep Reading

Are expert technicians or fundamentalists better forecasters of short-term and intermediate-term asset returns? In the August 2015 version of their paper entitled “Talking Numbers: Technical versus Fundamental Recommendations”, Doron Avramov, Guy Kaplanski and Haim Levy assess the economic value of dual technical and fundamental recommendations presented simultaneously on “Talking Numbers”, a CNBC and Yahoo joint broadcast… “featuring fundamental and… Keep Reading

Do behaviors of commodity futures over the past decade require updating of beliefs based on earlier research? In their August 2015 paper entitled “Conquering Misperceptions about Commodity Futures Investing”, Claude Erb and Campbell Harvey update and interpret research on returns from a passive, continuous investment in commodity futures. They focus on: Relative contributions of price return and income… Keep Reading

What qualifiers can enhance the performance of a small value stock strategy? In their August 2015 paper entitled “Leveraged Small Value Equities”, Brian Chingono and Daniel Rasmussen devise and test a strategy to refine a portfolio of small capitalization value stocks of firms that with relatively high financial leverage. Specifically, their target universe at the end of each year… Keep Reading

What indicator works best to mitigate stock momentum strategy crashes? In his March 2015 paper entitled “Momentum Crash Management”, Mahdi Heidari compares performances of seven indicators for avoiding conventional stock momentum strategy crashes: (1) prior-month market return; (2) change in prior-month market return: (3) market volatility (standard deviation of 52 weekly returns); (4) dispersion (variance) of daily returns… Keep Reading

Does combining the outputs of many methods of estimating the equity risk premium (ERP) produce a useful result? In their February 2015 paper entitled “The Equity Risk Premium: A Review of Models”, Fernando Duarte and Carlo Rosa estimate ERP via principal component analysis of 20 models, which they assign to five categories: (1) predictors based solely on historical average return; (2) dividend… Keep Reading

Is implied volatility of implied volatility, interpretable as a measure of changes in investor fear level, a useful indicator of future stock market returns or VIX futures returns? To investigate, we examine relationships between the CBOE VVIX Index, a measure of the expected volatility of the 30-day forward level of the S&P 500 Implied Volatility Index (VIX) derived… Keep Reading

Does the new Fama-French five-factor model of stock returns explain a wider range of anomalies than the workhorse Fama-French three-factor model. In the June 2015 update of their paper entitled “Dissecting Anomalies with a Five-Factor Model”, Eugene Fama and Kenneth French examine the power of their five-factor model of stock returns to explain five anomalies not explicitly related to the five factors… Keep Reading