Investing Research Articles

Do gems offer good returns? How do the returns of these tangible assets compare with those of other asset classes? In the April 2011 version of their paper entitled “Hard Assets: The Returns on Rare...

How do the daily price statistics of commodities differ, and how do they compare with those for equities? In their May 2011 paper entitled “The Dynamics of Commodity Prices”, Chris Brooks and Marcel Prokopczuk examine...

Are there recognizable country and global financial cycles over the past half century? If so, what are their characteristics? In their April 2011 paper entitled “Financial Cycles: What? How? When?”, Stijn Claessens, Ayhan Kose and...

At the suggestion of a reader, we began tracking on 5/4/06 the intermediate-term stock market outlooks of Steve Todd. Steve Todd is founder of the Todd Market Forecast, which states: “For the years 2003, 2004...

Does construction of new tallest-in-the-world buildings indicate financial hubris and therefore pending equity market weakness? In the March 2011 version of his paper entitled “Tower Building and Stock Market Returns”, Gunter Löffler relates construction of...

Are some firms more at risk of creative destruction by new technologies? If so, does the market offer a premium to investors in such firms? In his March 2011 paper entitled “Creative Destruction and Asset...

Are value stocks priced low because the companies are in financial distress? In their May 2011 paper entitled “Is the Value Premium Really a Compensation for Distress Risk?”, Wilma de Groot and Joop Huij investigate...

Does the size effect vary in a predictable way? In the May 2011 version of his paper entitled “Explaining the Dynamics of the Size Premium”, Valeriy Zakamulin investigates relationships between eight market/economic variables and the...

How effective are tax-deferred savings in avoiding federal income taxes over a lifetime? In their May 2011 paper entitled “The Tax Benefit of Income Smoothing”, Kristian Rydqvist, Steven Schwartz and Joshua Spizman estimate the lifetime...

The typical long-term moving average used for technical analysis is 200 trading days. Do moving averages measured over even longer intervals have value? In the December 2010 version of their paper entitled “Technical Analysis with...

Are many mutual fund managers worldwide so fixated on benchmarks that they substantially emulate index funds, while charging shareholders “active” fees? In the April 2011 version of their paper entitled “The Mutual Fund Industry Worldwide:...

Can investors systematically benefit from the perspective that trading is the exchange of one asset for another, not the buying and selling of a single asset? In his paper entitled “Optimal Rotational Strategies Using Combined...

The Fed Model relates the aggregate earnings yield (E/P) of the stock market to Treasury bond or bill yields under the assumption that investors view equities and government bonds as competing ways to achieve yield....

When implemented via exchange-traded funds (ETF), does an equity sector momentum strategy beat an equity style momentum strategy? How do these approaches compare to a geographic equity momentum strategy? In his paper entitled “Optimal Momentum”,...

Trading rules that generate clustered signals present capital allocation problems. Sometimes unpredictable scarcity of signals idles capital, and other times unpredictable clustering of signals presents too many opportunities to exploit. Portfolio-level performance therefore falls considerably...

Does the market compensate buyers of illiquid options? In their March 2011 paper entitled “Illiquidity Premia in the Equity Options Market”, Peter Christoffersen, Ruslan Goyenko, Kris Jacobs and Mehdi Karoui investigate the impact of illiquidity...

Eddie Kwong of TradingMarkets.com requested a review of Larry Connors’ Daily Battle Plan (Battle Plan). TradingMarkets.com presents the Battle Plan service as “a reliable guide for short term traders looking to take advantage of the...

Is there evidence of investor herding in the variation of return correlations for individual stocks? In their January 2011 paper entitled “Asymmetric Correlations”, Tarun Chordia, Amit Goyal and Qing Tong investigate when and why return...

Hedge fund databases are prone to: (1) self-selection bias (only good performers report); (2) backfill bias (only funds with good recent past performance retroactively report it); (3) survivorship bias (exclusion of dead fund performance); and;...

In his 2011 book Super Boom: Why the Dow Will Hit 38,820 and How You Can Profit from It, author Jeffrey Hirsch (editor-in-chief of the Stock Trader’s Almanac) states, regarding the book’s title and a...

Does the earnings yield (inverse of price-to-earnings ratio, or E/P) usefully predict returns for individual stocks? In their April 2011 paper entitled “Reexamination of the Earnings-Price Anomaly by the Buy-Sell Strategy”, Hsin-Yi Yu and Li-Wen...

Can portfolios exhibit properties not evident from, or even contrary to, average properties of their component assets? In the April 2011 draft of their paper entitled “The Sources of Portfolio Returns: Underlying Stock Returns and...

...investors may want to consider all these fees, expenses and costs debited from fund assets as evidence of fund manager emphasis on outcomes other than maximizing net return.

“The Industry 52-week High Effect” summarizes findings that the 52-week high effect, the future outperformance (underperformance) of stocks currently near their respective 52-week highs (lows), is stronger and more consistent for 20 industries than for...

Are 52-week highs and lows useful equity price momentum indicators at the industry level? In their March 2011 paper entitled “Industry Information and the 52-Week High Effect”, Xin Hong, Bradford Jordan and Mark Liu compare...