...evidence from a limited sample period (in terms of number of bull and bear markets) indicates that optimized leverage beats both fixed leverage and no leverage. However, with unlucky initial conditions, even optimized leverage may...
As suggested by a reader, we evaluate here stock market forecasts of John Buckingham, Chief Investment Officer of Al Frank Asset Management, who emphasizes careful stock selection, broad diversification and a long investing horizon. He...
...evidence suggests that investors may be able to predict which SEOs will engender the most pronounced subsequent market underperformance by measuring the level of surprise in the SEO announcement.
Reasons why it is likely unproductive to attempt to rank firm characteristics or factors according to predictive power for future stock returns, or strategies according to modeled alpha, include...
...investors may be able to generate substantial average abnormal returns by systematically taking short (long) positions in stocks of firms with extremely bad (good) quarterly earnings for several months after respective earnings announcements.
...empirical analysis indicates that ignoring hedge fund withdrawal restrictions may result in material overestimation of the benefits of including hedge funds in a portfolio.
...evidence from narrow portfolios (top 30 stocks) over a recent short test period indicate that GARP-value-size strategies perform well, with the magic formula (EBIT/EV and ROC combined), EBIT/EV alone and E/P alone excelling.
"...many investors have been lured into the idea that shorting a pair of leveraged ETFs is a sure gain."
...evidence indicates that option collars may substantially improve the performance of ETFs and mutual funds over fairly long periods that include bear markets.
The author therefore employs a strategy that agrees with your hypothesis.
...this logic assumes that the options market maker (or other options trade counterparty) is ignoring or underestimating the impact of the grind when pricing the options.
...evidence suggests that: (1) the wealth of the wealthy drives art prices; and, (2) art prices tend to evolve with, or somewhat behind, the equity market at a similar pace.
...evidence suggests that: (1) VIX may contain an extractable component of irrationally felt risk negatively related to stock returns; and, (2) rational investors may not have fully exploited this relationship.
You might find "The Periodic Table of Finance Bloggers" at The Reformed Broker interesting.
...evidence from a relatively short history of global stock returns indicates that portfolio weighting based on mechanical metrics other than market capitalization may enhance raw and risk-adjusted return.
...traders may find Day Trading Options an interesting exploration of potential short-term options pricing inefficiencies and of approaches to exploiting such anomalies. However, the book presents no associated model of reasonably sustainable portfolio-level returns.
The only place Tobin's q shows up on CXOadvisory.com at present is...
CXOadvisory.com has no original tests focused on autocorrelation of financial market returns.
...investors may be able to outperform the broad market by screening stocks on the 12 most reliable fundamental and technical factors.
...evidence from simple tests on weekly data over a limited sample period indicate that the TFS Market Neutral (TFSMX) mutual fund has (1) dampened but not neutralized broad market volatility and (2) generated some alpha.
There are academic papers related to your comments. Two of the most heavily downloaded are...
...investors may want to ponder whether the fat tails of financial asset return distributions (and those for the outputs of many other complex systems) present risks that "normal" statistical methods cannot mitigate.
See the notes on Chapter 6 in "Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals (Chapter-by-Chapter Review)" for some qualitative aspects of data snooping bias. The book itself presents the...
...evidence from simple tests on the S&P 500 Index since the mid-1990s does not support a belief that closing levels of the market gravitate toward round numbers. Nor do they support a belief that round...
Norman Fosback discusses two investing systems on fosback.com: (1) Fosback's Fund Forecaster; and (2) The Seasonality Timing System...