Investing Research Articles

How do the major components of U.S. stock market performance behave over time? In his October 2014 paper entitled “Long-Term Sources of Investment Returns and a Simple Way to Enhance Equity Returns”, Baijnath Ramraika decomposes long-term returns from the U.S. stock market (as proxied by Robert Shiller’s S&P Composite Index) into four components: Dividend yield Inflation Real average… Keep Reading

How diverse are the beliefs of experts on the Capital Asset Pricing Model (CAPM)? In his November paper entitled “CAPM: The Model and 233 Comments about It”, Pablo Fernandez reproduces 52 largely disagreeing and 181 largely agreeing comments solicited from professors, finance professionals and Ph.D. students regarding his prior paper entitled “CAPM: an Absurd Model” (summarized in “Forget CAPM… Keep Reading

Is the difference between upside and downside asset participation ratios relative to a benchmark a useful metric for evaluating asset investment performance? In his June 2014 paper entitled “On the Holy Grail of ‘Upside Participation and Downside Protection’”, Edward Qian defines and investigates the performance implications of the Participation Ratio Difference (PRD) as a measure of combined upside participation and… Keep Reading

How can investors protect portfolios from crashes across asset classes? In the November 2014 version of his paper entitled “Tail Risk Protection in Asset Management”, Cristian Homescu describes tail (crash) risk metrics and summarizes the body of recent research on the effectiveness and costs of alternative tail risk protection strategies. The purpose of these strategies is to… Keep Reading

Is equity factor investing a straightforward path to premium capture and diversification? In their October 2014 paper entitled “Facts and Fantasies About Factor Investing”, Zelia Cazalet and Thierry Roncalli summarize the body of research on factor investing and provide examples to address the following questions: What is a risk factor? Do all risk factors offer attractive premiums? How stable and robust are these… Keep Reading

Is Piotroski’s FSCORE really as effective at picking stocks as indicated in the original study, which screens stocks with high book-to-market ratios to isolate those that will eventually provide high returns? In their April 2014 paper entitled “Implementability of Trading Strategies Based on Accounting Information: Piotroski (2000) Revisited”, Sohyung Kim and Cheol Lee re-examine the FSCORE testing methodology. Their broader… Keep Reading

Do predictive powers of the size, value and momentum factors observed for individual stocks translate to the country level? In the November 2014 version of his paper entitled “Country Selection Strategies Based on Value, Size and Momentum”, Adam Zaremba investigates country-level value, size and momentum premiums, and tests whether the value and momentum premiums are equally strong across markets… Keep Reading

Are publicly traded Master Limited Partnerships attractive investments? In their June 2014 paper entitled “Master Limited Partnerships (MLPs)”, Frank Benham, Steven Hartt, Chris Tehranian and Edmund Walsh describe and summarize the aggregate performance and characteristics of publicly traded MLPs. These partnerships are predominantly owners of “toll road” energy infrastructure, U.S. oil and natural gas pipelines… Keep Reading

Does quantitative technical analysis work reliably in currency trading? If so, where does it work best? In their May 2013 paper entitled “Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-Scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market”, Po-Hsuan Hsu and Mark Taylor test the effectiveness of a broad set… Keep Reading

In which country stock markets is technical analysis likely to work best? In the October 2014 version of her paper entitled “Technical Analysis: A Cross-Country Analysis”, Jiali Fang investigates three potential cross-country determinants of technical trading profitability: An individualism index, measuring the degree to which individuals integrate via cultural groups. Market development and integrity metrics, including stock market size, stock market… Keep Reading