Investing Research Articles

A subscriber requested evaluation of Jay’s Pure Momentum Sector Fund System, specified by originator Jay Kaeppel as follows: At the end of the first month, assign 20% weight to the five of the 40 Fidelity Select Sector funds (excluding Select Gold, FSAGX) with the largest positive returns over the previous 240 trading days. At the end of… Keep Reading

Does long-term media coverage of a firm exert predictable pressure on its stock price? In the November 2015 version of their paper entitled “Ninety Years of Media Coverage and the Cross-Section of Stock Returns”, Alexander Hillert and Michael Ungeheuer examine relationships between firm media coverage and stock returns. Specifically, they relate long-term New York Times firm coverage/changes in… Keep Reading

Which is worse with respect to sustaining retirement income: sacrificing potential investment portfolio growth early, or exposing mortgage debt to interest rates later? In his November 2015 paper entitled “Incorporating Home Equity into a Retirement Income Strategy”, Wade Pfau simulates different strategies for incorporating home equity into a retirement plan (both income assurance and legacy) via a Home Equity… Keep Reading

Does lack of search activity point to stocks that are out of favor and therefore undervalued? In their November 2015 paper entitled “In Search of Alpha-Trading on Limited Investor Attention”, Konstantin Storms, Julia Kapraun and Markus Rudolf develop and test three trading strategies that employ Google search volumes to take long positions in S&P 500 stocks receiving abnormally low investor… Keep Reading

What is Warren Buffett’s preferred fixed asset allocation, and how does it perform? In his October 2015 paper entitled “Buffett’s Asset Allocation Advice: Take It … With a Twist”, Javier Estrada examines Warren Buffett’s 2013 implied endorsement of a fixed allocation of 90% stocks and 10% short‐term bonds (90/10). Specifically, he tests the performance of eight fixed asset allocations ranging from 100/0 to 30/70…. Keep Reading

…while mid-single digits may be a reasonable rough estimate for the equity risk premium, there is not a generally accepted value for it or method of estimating it.

The submission deadlines for the 2016 Wagner Award, presented by the National Association for Active Investment Management (NAAIM) are December 15, 2015 for an Intent to Submit and February 29, 2016 for a final paper. Per the “Call for Papers”: “The competition is open to all investment practitioners, academic faculty and doctoral candidates in the field. …Papers must… Keep Reading

Does “meaningful” short-term stock return momentum predict exploitable short-term price trends? In their October 2015 paper entitled “News Momentum”, Hao Jiang, Sophia Li  and Hao Wang combine time-stamped firm news with high-frequency (15-minute) stock returns to identify stocks exhibiting news-driven momentum. Their news feed is the stream of unique items (no repeated stories) delivered in near real time by RavenPack. News-driven momentum derives from high-frequency returns… Keep Reading

What combination of factors best predicts stock market returns at a monthly frequency? In the October 2015 draft of their paper entitled “Comparing Asset Pricing Models”, Francisco Barillas and Jay Shanken apply a Bayesian procedure to compare all possible pricing models based on subsets of a given set of pricing factors. They consider a total of ten factors: market, two versions… Keep Reading

Do individual investors exhibit good or bad timing in stock transactions of recent years? In the August 2015 version of their paper entitled “Fool’s Mate: What Does CHESS [Clearing House Electronic Subregister System] Tell Us About Individual Investor Trading Performance?”, Reza Bradrania, Andrew Grant, Joakim Westerholm and Wei Wu examine the short-term performance of stocks with unusual buying or selling… Keep Reading