Investing Research Articles

Should long-term investors view their retirement portfolios more like houses than savings plans? In other words, should they start out with considerable leverage and draw the leverage down gradually over time? In their October 2010 paper entitled “Diversification Across Time”, Ian Ayres and Barry Nalebuff investigate the effects of initially implementing and then gradually phasing… Keep Reading

Both stock price momentum and asset growth rate exhibit empirical value as return predictors for individual stocks. Does combining these indicators offer enhanced value to investors? In their September 2010 paper entitled “Firm Expansion and Stock Price Momentum”, Peter Nyberg and Salla Pöyry investigate the interaction between firm-level asset growth (change in balance sheet total… Keep Reading

…evidence from detailed modeling indicates that tension between holding period and bid-ask spread greatly limits the profit available to aggressive high-frequency trading.

…evidence indicates that the value premium and momentum effect exist at a gross level among frontier market stocks and that these anomalies are both mutually diversifying and diversifying for a global portfolio.

…evidence indicates that investors may be able to outperform a benchmark emerging markets index by exploiting simple country-level value metrics.

…evidence indicates that both fund expenses and dividend taxes constitute substantial drags on European index funds compared to underlying indexes. In other words, each investor may want to account for the personal effect of dividend tax withholding in evaluating affected funds.

Generalizations from the body of equity price trend research are: (1) stocks tend to exhibit short-term reversal, intermediate-term momentum and long-term reversion; and, (2) small capitalization and high-volatility stocks tend to exhibit the strongest momentum. What about the combination of size and volatility? In the September 2010 version of his paper entitled “Do Momentum and… Keep Reading

…evidence indicates that investors may be able to exploit interest rate trend changes derived from Federal Reserve policy pivots to boost net risk-adjusted returns from bond holdings.

Reader Mike Korell of ChartsEdge suggested an evaluation of his own S&P 500 Index forecasts for inclusion in Gurus. These “stock market forecasts are based on cycle data which has been analyzed by a Pattern Recognition Program. This use of artificial intelligence reduces the effect of personal bias and allows the simultaneous cycle analysis of… Keep Reading

…investors should assess and compare asset classes based on dynamic estimates of respective risk premiums (implied returns derived from current prices and estimated cash flows) to guide asset class allocation and market timing.