Investing Research Articles

The order of the first and second place winners is now reversed from that shown at the close yesterday because of a price change on Yahoo!Finance after 4:00PM.

Do simple stock market valuation ratios work for tactical allocation? In his April 2015 paper entitled “Multiples, Forecasting, and Asset Allocation”, Javier Estrada investigates whether investors can outperform a 60-40 stocks-bonds benchmark portfolio via tactical strategies based on one of three simple stock market valuation ratios: (1) dividend-price ratio (D/P); (2) price-earnings ratio (P/E); or, (3) cyclically adjusted… Keep Reading

Do low-volatility strategies work for all stocks? In their April 2015 paper entitled “Low Risk Anomalies?”, Paul Schneider, Christian Wagner and Josef Zechner examine relationships between low-beta/low-volatility stock anomalies and implied stock return skewness. They compute ex-ante (implied) skewness for each stock via a portfolio of associated options that is long (short) out-of-the-money calls (puts). The more investors are… Keep Reading

What makes investors happy with investment returns? In the April 2015 version of their paper entitled “All’s Well That Ends Well? On the Importance of How Returns Are Achieved”, Daniel Grosshans and Stefan Zeisberger employ a series of surveys to investigate how investor satisfaction depends on investment price path. Their main survey asks participants to imagine that they bought three winner stocks (10%… Keep Reading

We’ve updated “What Works Best?” to incorporate some recent research summaries and adjust interpretation of the body of research.

Do multi-class mutual funds exhibit good asset class allocation timing? In their April 2015 paper entitled “Multi-Asset Class Mutual Funds: Can They Time the Market? Evidence from the US, UK and Canada”, Andrew Clare, Niall O’Sullivan, Meadhbh Sherman and Steve Thomas investigate whether mutual fund managers time allocations across asset classes skillfully. They focus on three asset classes: equities, government bonds and corporate… Keep Reading

Is the part of profitability based on cash flow more informative than the part based on accruals? In their March 2015 paper entitled “Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns”, Ray Ball, Joseph Gerakos, Juhani Linnainmaa and Valeri Nikolaev investigate the power of the cash flow part of profitability to predict stock returns. They… Keep Reading

When and why do investors make changes in asset class allocations? In the March 2015 version of their paper entitled “Global Asset Allocation Shifts”, Tim Kroencke, Maik Schmeling and Andreas Schrimpf examine the asset reallocation decisions of U.S. mutual fund investors. They focus on shifts between U.S. equities and U.S. bonds (rotation) and between U.S. assets and non-U.S. assets… Keep Reading

Which moving average rules and measurement (lookback) intervals work best? In the March 2015 version of his paper entitled “Market Timing with Moving Averages: Anatomy and Performance of Trading Rules” Valeriy Zakamulin compares market timing rules based on different kinds of moving averages, including simple momentum. He first compares the mathematics of these rules to identify similarities and… Keep Reading

In the preface to the 2015 Third Edition of Irrational Exuberance, author Robert Shiller states: “…evidence of bubbles has accelerated since the [2007-2009 world financial] crisis. Valuations in the stock and bond markets have reached high levels in the United States and some other countries, and valuations in the housing market have been increasing rapidly in many countries. …The… Keep Reading