..."despite the many ingenious tools they created to attack the puzzle, much remains unsolved. Discontinuities, irregularities, and volatilities seem to be proliferating rather than diminishing... The goal of wresting society from the laws of chance...
As suggested by a reader, we evaluate here the market-related forecasts of Richard Band since late May 2002. Most of his predictions/recommendations come indirectly via MarketWatch columns, augmented by a few direct commentaries from The...
...evidence indicates that equity investors continuously acting on reasonable but uncertain expectations may experience much higher return volatilities over the long run than suggested by realized stock market volatility in hindsight.
...evidence indicates that investors and analysts tend to extrapolate current earnings shocks and discount their predictable reversion. This shortsightedness manifests as the momentum effect, reflected in both stock prices and analyst cash flow forecasts.
...evidence from many studies indicates that confirmation bias is substantial, with defensiveness outweighing desire for accuracy in driving a preference for confirming over disconfirming information. Individual investors may want to counteract this bias by doubling...
...very limited evidence suggests that regulatory activity reacts to stock market returns with a lag of one to three years and has little or no effect on future stock market returns.
Does the conventional wisdom to “sell in May,” with the average stock return during November-April far exceeding that for May-October, work for the world equity market? If so, why? In the November 2005 version of...
...in contrast with cited research, limited tests do not support a belief that the stock market reliably generates higher and less volatile returns when the U.S. Senate is not in session.
A reader wondered: “Is astrology more or less accurate than Jim Cramer?” She suggested that we check by reviewing the monthly stock market predictions of SootheSayer Linda Schurman, available back to August 2004. As an...
...investors who pick stocks may want to focus on two firm characteristics: (1) investment-to-assets ratio; and, (2) return on assets. Evidence indicates that these two characteristics are foundational to a broad range of stock return...
...investors may want to investigate the commentaries of unfamiliar experts who accrue significant user-initiated interest as evidenced by search frequency.
A reader observed and suggested: “When I first started paying attention to markets in the 1980s and 1990s, one frequently cited argument against market efficiency was the Value Line anomaly – the fact that stocks...
Tim Wood, who maintains the “Cycles News & Views” web site, requested that we remove the review of his public stock market forecasts. His rationale is as follows:
...evidence suggests that investors may be able to enhance stock buyback signaling by focusing on firms with relatively low insider ownership.
A reader suggested that we evaluate the forecasting prowess of Bill Gross, manager for PIMCO of the world’s largest bond fund. PIMCO describes itself as “one of the largest specialty fixed income managers in the...
...stock betas calculated from historical data vary considerably over short intervals, across calculation methods and across data sources and therefore may be of little or no value as an investment tool.
...evidence indicates that short sellers are on average able to identify both overvalued and undervalued stocks. Investors/traders may be able to exploit the economically large positive future returns of lightly shorted stocks with simple long-only...
...evidence indicates that many sentiment indicators add little or no value to simple price action indicators, but VIX purified of price action contains significant predictive power for future stock market returns. However, price action masks...
What aggregate return thresholds are critical to investors in deciding whether to accept or reject equity and bonds for investment portfolios? In their December 2008 paper entitled “A Required Yield Theory of Stock Market Valuation...
...evidence suggests that the fear-driven gap between option-implied volatility and contemporaneous realized volatility for a broad stock market index may offer investors/traders a small edge in anticipating near-term stock and bond returns.
Do the stock recommendations of guru Jim Cramer on CNBC’s Mad Money move the market? Do they beat the market? In their May 2009 paper entitled “Investing in Mad Money: Price and Style Effects”, Paul...
...limited evidence suggests that simple trend conditions may amplify return anomalies related to the turn of the month and options expiration. As usual monthly variability is fairly large compared to differences in means for monthly...
...the Common Sense buy-low/sell-high strategy appears not to be an effective asset allocation approach because it is somewhat out of phase with momentum and value return horizons.
...a very limited test suggests that adding simple moving average signals to asset class momentum investing may enhance returns.
...limited evidence suggests that the stock market forecasting accuracy rate of a reasonably diversified group of experts is roughly stable over time at close to 50-50.