Investing Research Articles

Does aggregate social network sentiment, as measured by Facebook’s Gross National Happiness (GNH), predict future stock market returns? In his August 2011 preliminary draft paper entitled “Can Facebook Predict Stock Market Activity?”, Yigitcan Karabulut investigates the relationship between GNH as a proxy for investor sentiment and stock market activity. Per Facebook, GNH derives from “…millions of… Keep Reading

Does a strategy of combining monthly individual stock return reversal with monthly industry momentum enhance results compared to the separate strategies. In their August 2011 paper entitled “One-month Individual Stock Return Reversals and Industry Return Momentum”, Marc Simpson, Emiliano Giudici and John Emery examine the relationship between individual stock return reversals and industry momentum by considering… Keep Reading

Is fine wine a good investment? Two recent studies are on the case. In their February 2010 paper entitled “Raise your Glass: Wine Investment and the Financial Crisis”, Philippe Masset and Jean-Philippe Weisskopf examine the risk, return and diversification benefits of fine wine. In their August 2011 paper entitled “Is Wine a Premier CRU Investment?”, Liam Devine… Keep Reading

Analyses such as those described in “Demographic Headwind for U.S. Stock Market?” and “Classic Research: Demography and the Stock Market” assess the impact of demographic changes on the stock market by focusing on market valuation as measured by price-earnings ratio (P/E). What story would a more direct analysis of demographics and stock market returns tell?… Keep Reading

Will disinvestment of the baby boom generation retard U.S. equities? In their August 2011 letter entitled “Boomer Retirement: Headwinds for U.S. Equity Markets?”, flagged by a reader, Zheng Liu and Mark Spiegel revisit the relationship between U.S. age demographics and U.S. equity valuation as indicated by the lagged price-earnings ratio (P/E). They calculate P/E based… Keep Reading

Are financial market returns from extreme outlier days mostly good or bad for investors? Is the occurrence of such days usefully predictable? In his August 2011 paper entitled “Where the Black Swans Hide & The 10 Best Days Myth”, Mebane Faber examines the effects and predictability of daily market return outliers. Using daily returns for the broad… Keep Reading

As described in “Monthly Stock Return Reversal Update”, evidence for a conventional monthly stock return reversal effect since 1990 is weak. Is there a way to enhance the effect? In their August 2011 paper entitled “Short-Term Residual Reversal”, David Blitz, Joop Huij, Simon Lansdorp and Marno Verbeek present a short-term reversal strategy based on deviations of individual… Keep Reading

When do simple moving averages (SMA) serve as useful trading rules? Do they exploit some hidden pattern in asset price behavior? In their July 2011 paper entitled “The Trend is not Your Friend! Why Empirical Timing Success is Determined by the Underlying’s Price Characteristics and Market Efficiency is Irrelevant “, flagged by a subscriber, Peter… Keep Reading

Is the monthly stock return reversal effect currently exploitable? In the August 2011 version of their paper entitled “New Evidence on Short-Term Reversals in Monthly Stock Returns: Overreaction or Illiquidity?”, Chris Stivers and Licheng Sun investigate the persistence, size-sensitivity and seasonality of monthly stock return reversal in the context of three competing explanations: (1) investor overreaction… Keep Reading

Has the strong appreciation of gold since 2001 produced a price bubble? In their March 2011 paper entitled “Is There a Speculative Bubble in the Price of Gold?”, Jedrzej Bialkowski, Martin Bohl, Patrick Stephan and Tomasz Wisniewski measure deviations of actual gold price from its fundamental value to identify gold bubbles. They use the convenience… Keep Reading