Investing Research Articles

What is the state, from an investor’s perspective, of research on the power of accounting and fundamentals to predict stock returns? In their September 2010 paper entitled “Accounting Anomalies and Fundamental Analysis: A Review of Recent Research Advances”, Scott Richardson, Irem Tuna and Peter Wysocki present an overview of post-2000 research on accounting anomalies and… Keep Reading

Can Treasury Inflation-Protected Securities (TIPS), with principal indexed to the U.S. non-seasonally adjusted Consumer Price Index for all urban consumers (CPI), play a valuable role in asset class diversification? In the January 2011 draft of their paper entitled “Optimal Portfolio Choice in Real Terms: Measuring the Benefits of TIPS”, Alvaro Cartea, Jonatan Saul and Juan… Keep Reading

In their February 2011 book chapter entitled “Seasonal Anomalies”, Constantine Dzhabarov and William Ziemba describe, update and assess several published U.S. stock market anomalies, most of which are directly or indirectly calendar-driven. They update using returns for stock index futures as a low-friction approach to exploiting calendar anomalies. They acknowledge the possible materiality of data… Keep Reading

Is the number of institutional owners of a stock, arguably a proxy for general investor awareness and demand, an important factor in current and future pricing of the stock? In their February 2011 paper entitled “What Makes Stock Prices Move? Fundamentals vs. Investor Recognition”, Scott Richardson, Richard Sloan and Haifeng You investigate the role of… Keep Reading

Are there reliable lead-lag relationships among stock market returns, changes in the Federal Funds Rate (FFR) and changes in Treasury bond yields? In their February 2011 paper entitled “The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields”, Kun Guo, Wei-Xing Zhou, Si-Wei Cheng and Didier Sornette apply a new “thermal optimal… Keep Reading

Do options quote movements anticipate those of underlying stocks? In other words, are options traders systematically more informed than stock traders? In their January 2011 paper entitled “Is There Price Discovery in Equity Options?”, Dmitriy Muravyev, Neil Pearson and John Paul Broussard test the lead-lag relationship between the bid-ask ranges of equity options and the… Keep Reading

In his 2010 book Wave Theory for Alternative Investments: Riding the Wave with Hedge Funds, Commodities, and Venture Capital, author Stephen Todd Walker asserts that “dynamic asset allocation (as opposed to static allocation) is imperative… In my view, now is the time that one should be adding alternatives to a well-diversified portfolio. It is time… Keep Reading

How have S&P 500 firms performed over the past two decades, in aggregate and individually, relative to reasonable investor expectations? In their February 2011 brief entitled “Shareholder Value Creators in the S&P 500: 1991-2010”, Pablo Fernandez, Javier Aguirreamalloa and Luis Corres tabulate the creation of value by major U.S. firms for long-term shareholders relative to… Keep Reading

Is there a window of exploitation before prices of individual stocks incorporate relevant information shocks? If so, what is its duration? In their January 2011 paper entitled “Speed of Convergence to Market Efficiency: The Role of ECNs”, Dennis Chung and Karel Hrazdil investigate the duration of stock price inefficiency based on the time interval over… Keep Reading

A reader asked: “Do you have any research on the phenomenon of ‘pinning’ during options expiration? The theory is that there is a Max Pain price where options sellers stand to lose the least, and that they manipulate prices towards these levels.” A search of the Social Science Research Network (SSRN) separately for “pinning” and… Keep Reading