Investing Research Articles

...this compilation of suggestions and questions can help investors/traders assess the credibility of returns claimed by advisory services.

...there is probably a substantial headwind for those speculating on stock pops by buying near-expiration, out-of-the-money call options. Selling such options may be reliably profitable.

...investors may be able to exploit a two-year reversion effect signaled by past returns of the broad value-weighted U.S. stock market.

...hedge fund investors are probably better off with maverick funds, perhaps new ones every couple of years, than with those cut from the herd.

...this simple sector ETF pair trading strategy offers modest average abnormal returns, but only infrequent trading opportunities. A standalone pairs trading strategy of any kind probably requires a large inventory of potential pairs.

Just what does it mean to be a quant? In his December 2002 article entitled “The Boy’s Guide to Pricing & Hedging “, Emanuel Derman offers an “abbreviated poor man’s guide” to quantitative finance. He...

...hedge portfolios of matched pairs of stocks has offered persistently solid risk-adjusted returns, but diminishing raw returns, over the past 40 years.

...evidence indicates that the Australian stock market offers a strong value premium and a weak size effect.

...over the long term, systematic use of stop losses in trading individual stocks does not enhance the level of returns, but certain trailing stop losses reduce trading risk (standard deviation of returns).

...commodity futures trading strategies that combine momentum and roll return may offer strong performance largely uncorrelated with those of stocks and bonds.

...the ability of commonly used indicators to predict near-term (one-month) stock market returns appears during economic recessions (periods of high return volatility) but vanishes during economic expansions.

...systematic use of stop-loss orders may be beneficial, especially if one can project the general price trend and apply stop losses accordingly.

...after accounting for data snooping bias, technical analysis does not reliably offer value as a standalone market timing method in any of the 49 MSCI country equity markets.

...several simple tests refute a belief that the past relative behavior of QQQQ and IWM reliably predicts reversion in their near-term future relative behavior.

...momentum trading strategies generally offer significantly positive alpha for large-capitalization U.S. stocks, but the strategies may not work during bear markets.

We evaluate here the market commentary of James Oberweis via Zacks.com since July 2002. James Oberweis is one of Zacks’ “pros” and a principal at Oberweis Securities Inc., “a boutique investment firm…with a particular focus...

...investors/traders may be able to discover economically significant views of informed traders on individual stocks by examining the degree to which the associated option prices smirk.

Is an adaptive marketplace extinguishing the January effect? In their June 2008 paper entitled “The Persistence of the Small Firm/January Effect: Is it Consistent with Investors’ Learning and Arbitrage Efforts?”, Kathryn Easterday, Pradyot Sen and...

...long/short equity hedge fund investors, if they have the flexibility, may be to able capture future alpha by chasing past alpha.

...assessing the valuation implications of earnings growth requires delving into the sources of that growth (investments in new products/capabilities versus improvements in efficiency).

...the average investor in U.S. equities could boost annual returns by roughly 0.67% by switching from an active strategy to a passive one.

...there is solid evidence that stock returns have a predictable component, captured at least partially by interest rate variables, across international markets.

Martin Goldberg sent a comment on our review of his stock market commentaries (“Martin Goldberg: Financial Sense?”). The following exchange presents Mr. Goldberg’s message without editing.

...mutual fund investors can enhance odds of beating passive benchmarks by focusing on funds with expense ratios that are among the lowest within category.

...pricing of out-of-the-money put options for the S&P 500 index indicates that investors expect 50% stock market crashes every 50 years.