...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.
...observations have implications for investing and trading from the perspectives of avoiding irrationality as individuals and exploiting the systematic irrationalities of others.
...low (high) investor sentiment is especially indicative of future outperformance (underperformance) by the most speculative stocks.
Industries arguably follow multi-month cycles of outperformance and underperformance. Can investors use industry/sector Exchange Traded Funds (ETF) to capture abnormal returns from industry momentum? In their June 2008 paper entitled “Can Exchange Traded Funds Be...
...evidence from a small sample does not support a belief that ValueEngine's market overview statistics meaningfully predict near-term behavior of the broad stock market.
...the media employs mostly sentimental shortcuts in assessing company performance, and the sentiments expressed are much more reflective of past trends than future performance.
...the reactions of aggregated commodity futures prices to surprises in macroeconomic indicators (up and down with inflation and real activity) are most reliable during recessions.
...trading fees, trader capital constraints and inclusion of open positions may substantially reduce or eliminate "Short Term Stock Selector" profitability as summarized by the offeror.
How do the typical portfolio and performance of self-directed investors differ from those of investors who employ financial advisors? Do financial advisors systematically add value by providing information to, and tempering the irrationalities of, individual...
...individuals should carefully consider whether validated information or peer pressure is driving their investing/trading behaviors.
How can investors and speculators tell foolish, theoretical and practical investing/trading schemes apart? In his August 2002 paper entitled “Cranks, Academics and Practitioners”, former head of quantitative strategies at Goldman Sachs Emanuel Derman briefly circumscribes...