...investors may be able to achieve abnormal returns by combining value and earnings surprises, with most of the benefit coming from value stocks with positive earnings surprises and positive earnings announcement abnormal returns.
...evidence provides weak support for a belief that managers of U.S. bond mutual funds can on average time the bond market, but fund costs/fees offset any associated net outperformance of reasonable benchmarks.
There is not much information on the site...
...evidence from a broad international test indicates that switches to/from daylight savings time have no reliable effect on short-term stock returns.
You can use these three categories (and key word searches) to identify similar analyses and thereby get a second opinion on specific anomalies.
...investors may find The Options Trading Body of Knowledge useful as a broad source of information on how strategies for stock options work, but they should be skeptical of any judgments it offers on strategy...
Nassim Taleb offers some vague guidance on avoiding wildly bad events. See...
...retirees may be able to achieve both higher spending allowances and lower probabilities of portfolio exhaustion by allocating part of their portfolios to a safe core and the balance to a growth-tilted stocks-bonds mix.
...investors may be able to exploit the value premium more efficiently and completely by defining it using the Enterprise Multiple rather than the book-to-market ratio.
Best guess is that combining low volatility with high momentum might offer an edge...
...allocating funds to stocks and Treasuries according to the relationships between their past returns and these three off-the-beaten-path macroeconomic indicators may produce market-beating results.
The notion that individuals are at a disadvantage compared to big traders in constructing and maintaining a diversified portfolio of specific stocks seems reasonable.
For the strike-rolling process you describe to enhance returns over the long run, the incrementally accrued time value must more than offset the combined effects of: (1) the incremental trading frictions (principally bid-ask spreads); and,...
The net of this research appears to be that only very low-cost traders (such as market makers) can effectively exploit the anomaly.
It seems reasonable to infer from this analysis that many people "renting" automated trading strategies do not do very well and that they may underperform the broad stock market as a group.
IRS rules involving wash sales and options as described in Publication 550 (2008) are complicated.
...value-beta and momentum-beta relationships can and recently have reached such extremes that value and momentum strategies may impound untended assumptions about the future market trend.
CXOadvisory.com has not developed any screens or models to implement or replicate this approach.
Results suggest that the TOTM return is roughly zero in falling markets, so it can still support options selling (but with no safety margin for at-the-money options). Based on this result, selling options only when...
A reader suggested: “I know you’ve looked at Didier Sornette’s work in the past, but I think it would be worthwhile to look at his work again. His latest is ‘Bubble Diagnosis and Prediction of...
...evidence from simple tests on a limited dataset do not support a belief that net money flow is usefully predictive of weekly or monthly stock market returns.
Research showing that equity investors in aggregate materially underperform the market via timing of purchases and sales (aggregated money flow) is extensive. See...
...evidence indicates that traders can reliably earn a material premium by providing liquidity for after-hours trading of U.S. stocks and closing these trades at the next market open, so long as the after-hours trading in...
"Results appear to indicate that firm executives are not especially good timers of the aggregate stock market."
The rationale is recognition of a short-term reaction for stocks with momentum concentrated in a recent interval.