Investing Research Articles

As suggested by a reader, we evaluate here the stock market commentary of the Aden sisters via MarketWatch.com since June 2006. Mary Anne and Pamela Aden are self-described as “two of the most influential and...

"Have you done a review on spinoffs?"

...evidence indicates that cloning winning mutual funds with consistent styles may be an attractive stock-picking strategy.

In the opening paragraphs of his April 2010 article entitled “Traditional vs. Behavioral Finance”, Robert Bloomfield handicaps his subject contest as follows: “The traditional finance researcher sees financial settings populated not by the error-prone and...

Careful assessment of the exploitability of premiums or anomalies derived from long-run series such as stock indexes requires consideration of contemporaneous trading frictions. How have frictions changed over time? In the May 2002 version of...

...evidence from joint tests support a belief that the Halloween effect and the turn-of-the-month effect are the "real" calendar effects.

...evidence from simple tests indicates that the momentum anomaly is substantial and persistent over long periods for industries/asset classes on a gross return basis.

...evidence indicates that many (but not all) well-known stock return anomalies derive their profitability from short positions in firms with low credit ratings during deteriorating credit conditions, with shorting constraints and illiquidity limiting exploitation.

...evidence suggests that fear of disasters accounts for large fractions, perhaps most on average, of both the equity risk premium and the volatility risk premium.

...evidence from tests of an extensive set of technical trading rules as applied to emerging foreign exchange markets indicates that profitability of technical analysis, after correcting for data snooping bias, may be illusory.

...evidence from simple tests does not support a belief that The Mutual Fund Strategist timing signals beat simple free timing signals based on a 200-day simple moving average.

...investors may be able to boost momentum returns for individual stocks substantially by incorporating information from past trading volume and detailed analysis of firm fundamentals.

...tailored fundamental analysis may be able to identify growth stock mispricing and earn substantial abnormal returns.

"Does it really help to wait a half hour (or whatever) before trading?"

...The Little Book of Behavioral Investing is a broad survey of behavioral biases and countermeasures as related to financial markets, especially for value investors. The self-awareness espoused may be as important to successful investing as...

As requested by a reader, we evaluate here Steven Jon Kaplan’s commentary at True Contrarian since May 2002 (the earliest listed before a 5/22/11 reset that discarded posts prior to 5/18/11). Steven Jon Kaplan states...

"Are you aware of research on the before and after impacts of company earnings releases on option prices?"

...evidence suggests that long-term investors may be able to boost net Sharpe ratio by using high-frequency signals to make trade-or-delay decisions at each scheduled portfolio rebalancing.

...evidence from several simple tests does not support a belief that increases in interest rates reliably predict low returns for utilities based on horizons of a few weeks, months or quarters. If anything, results suggest...

...evidence from simple tests on a sample of limited duration indicates that John Lee's trades are profitable so long as trade size is reasonably large (so that transaction fees are percentage-wise small). Estimating portfolio-level performance...

...there is not enough public information on FibTimer or financial media sites to support due diligence on the investment performance of Frank Kollar's advice.

...evidence indicates that a high level of investor sentiment during a bull market may be a useful predictor of low future returns for speculative stocks. Sentiment has little or no power to predict returns during...

Several readers have proposed that one can bypass trading frictions...

Do stocks exhibit predictable volatility behavior near their 52-week highs and lows? In their March 2010 paper entitled “How the 52-Week High and Low Affect Beta and Volatility”, Joost Driessen, Tse-Chun Lin and Otto Van...

There is a stream of research that indicates three phases of price dynamics in equity markets, reaction - momentum - reversion, that operate over different horizons...