Investing Research Articles

Has the market evolved to extinguish exploitability of reactions to corporate stock buyback and secondary offering activities? In their December 2012 draft paper entitled “The Persistence of Long-Run Abnormal Stock Returns: Evidence from Stock Repurchases and Offerings”, Fangjian Fu and Sheng Huang compare recent (2003-2010) long-run abnormal returns following U.S. corporate stock buyback and Seasoned… Keep Reading

Do trading rules based on price relative to intermediate-term and long-term simple moving averages (SMA) outperform a buy-and-hold approach for all kinds of stocks and stock portfolios? In the January 2013 update of his paper entitled “Market Timing with Moving Averages”, Paskalis Glabadanidis examines SMA performance based on monthly returns. He uses an SMA measurement… Keep Reading

In the current environment of low bond yields, what is a safe investment withdrawal rate during retirement? In their January 2013 paper entitled “The 4% Rule is Not Safe in a Low-Yield World”, Michael Finke, Wade Pfau and David Blanchett model the risk of exhausting wealth for different retirement durations, withdrawal rates, stocks-bonds portfolio mixes… Keep Reading

Are there exploitable long-term cycles in U.S. stock market returns? In the January 2013 update of his paper entitled “Secular Mean Reversion and Long-Run Predictability of the Stock Market”, Valeriy Zakamulin explores mean reversion of the S&P Composite Index over intervals ranging from two to 40 years. He then runs an out-of-sample horse race using… Keep Reading

How does volatility interact with market beta? In his 2012 paper entitled “Volatility and Compounding Effects on Beta and Returns”, William Trainor investigates the performance of stocks sorted on market beta overall and during intervals of low and high market volatility. He considers both ideal (theoretical) betas and betas estimated from lagged returns. He defines low… Keep Reading

…Carly Garner’s A Trader’s First Book on Commodities is a well-calibrated introduction (as advertised) to trading commodity futures and options, but readers will have to dig deeper for robust investigations of trading strategies.

How should investors choose among alternative tactical asset allocation strategies? In their January 2013 paper entitled “Rethinking the Asset Allocation Approach for Plan Sponsors”, Pranay Gupta and Sven Skallsjo present a multi-strategy tactical asset allocation framework for very large (institutional) investors. They assume that the strategic asset allocation (portfolio policy) is to maximize capital appreciation… Keep Reading

What research is available on investment approaches, allocations and results for U.S. university endowments? In their January 2013 paper entitled “A Survey of University Endowment Management Research”, Georg Cejnek, Richard Franz, Otto Randl and Neal Stoughton summarize available research on university endowment money management and performance. They identify four streams of research: (1) governance structure… Keep Reading

Which risk-based asset allocation method is best? In their January 2013 preliminary paper entitled “Generalized Risk-Based Investing”, Emmanuel Jurczenko, Thierry Michel and Jerome Teletche present a general framework for risk-based asset allocation depending on two parameters: (1) level of sensitivity to asset return variance and correlation estimates; and, (2) level of tolerance for assets with… Keep Reading

How should investors measure the value of tactical deviations from a strategic asset class allocation? In their December 2012 draft paper entitled “A Framework for Examining Asset Allocation Alpha”, Jason Hsu and Omid Shakernia decompose sources of alpha for a diversified portfolio. Their decomposition assumes prior determination of the strategic asset allocation (policy portfolio), consisting of… Keep Reading