Investing Research Articles

Author Jeff Augen describes his 2010 book Trading Realities: The Truth, the Lies, and the Hype In-Between as “designed to help investors understand the economic and political forces that drive financial markets and to invest alongside those forces instead of against them. It also provides a blunt assessment of the limitations that most private investors… Keep Reading

In his 2010 book Trade the Trader: Know Your Competition and Find Your Edge for Profitable Trading, author Quint Tatro observes that “…what most investors don’t understand as they start to learn their basic technical patterns…is they are the ones actually in play. Seasoned traders are no longer just cuing off of charts or indicators,… Keep Reading

Does pairs trading work for exchange-traded funds (ETF)? In the November 2010 version of their paper entitled “ETF Arbitrage”, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti examine arbitrage opportunities among three dollar-traded ETFs designed to track the S&P 500 Index: SPDR S&P 500 (SPY); iShares S&P 500 Index (IVV); and, the Swiss Exchange iShares S&P… Keep Reading

Is aggregate equity investor fear multifaceted? In the August 2010 version of his paper entitled “The Equity Fear Premium and Daily Comovements of the S&P 500 E/P ratio and Treasury Yields before and during the 2007 Financial Crisis”, Christophe Faugère introduces a Total Fear Premium derived from independent flight-to-safety and flight-to-liquidity impulses. The flight-to-safety component… Keep Reading

Author Meir Statman states that his 2010 book What Investors Really Want “is about what we want from our investments. It is about how we think about our investments, how we feel about them, and how investment markets drive us crazy as we try to cajole them into giving us what we want… The sum… Keep Reading

Is pairs trading (buying the loser and selling the winner of close-substitute stocks that have diverged unusually in price) profitable after accounting for reasonable trading frictions? In the November 2010 version of their paper entitled “Are Pairs Trading Profits Robust to Trading Costs?”, Binh Do and Robert Faff examine the impact of trading friction (commissions,… Keep Reading

A reader asked: “Have you done an analysis of the Barron’s Daily Stock Alert service?” Barron’s recently described the performance of this service during November 2008 through October 2010: “A sure way to beat the market is to pick the best stocks and avoid the duds. …It takes brains, a willingness to do the homework,… Keep Reading

Are there commodity futures traders who consistently outperform? Who are they? What information do they exploit? In the September 2010 version of their paper entitled “Identifying Informed Traders in Futures Markets”, Raymond Fishe and Aaron Smith examine the short-term trading abilities of commodity futures traders by recreating their trading histories. They distinguish between those who… Keep Reading

How has the dramatic increase in trading over the past decade materially affected the stock market environment? In their October 2010 paper entitled “Recent Trends in Trading Activity and Market Quality”, Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam examine trends in trading activity and the impacts of these trends on market efficiency. Using trade and… Keep Reading

The U.S. Democratic and Republican political parties arguably exhibit persistently different policy inclinations that affect the aggregate performance of public companies and therefore the U.S. stock market. “Party in Power and Stock Returns” investigates annual stock returns for different combinations of the party in control of the the Presidency, the House of Representatives and the… Keep Reading