Investing Research Articles

How do widely recognized stock return anomalies (return variations unexplained by asset pricing models) mesh with efficient portfolio selection theory? In their paper entitled “Investing in Stock Market Anomalies”, Turan Bali, Stephen Brown and Ozgur Demirtas examine five prominent stock market anomalies whose existence is robust through time and across markets (size, book-to-market, short-term reversal,… Keep Reading

What accounts for the persistence in diversity of investor beliefs and behaviors? Why does logical inference from common data not drive common attitudes and actions? In their March 2011 paper entitled “Serotonin and Risk Taking: How Do Genes Change Financial Choices?”, Camelia Kuhnen, Gregory Samanez-Larkin and Brian Knutson investigate differences in investing beliefs and behaviors… Keep Reading

Does momentum not work for Japanese equities? In his March 2011 paper entitled “Momentum in Japan: The Exception that Proves the Rule”, Clifford Asness examines whether the failure of stock price momentum in Japan materially undermines belief in momentum investing. He argues that any such examination should adopt the context of value and momentum as… Keep Reading

We evaluate here the stock market commentary of the Cabot Market Letter, published by Cabot Heritage Corporation and currently edited by Michael Cintolo, via MarketWatch.com since late 2002. The available sample encompasses three editors. The Cabot Market Letter “provides expert market timing and a Model Portfolio for traditional growth investors. …Cabot Market Letter has been… Keep Reading

Can diversification via allocations to volatility-related securities enhance the absolute and risk-adjusted returns of equity portfolios? In other words, can investors construct useful asset classes from equity volatility? In their early 2010 paper entitled “Volatility Exposure for Strategic Asset Allocation”, Ombretta Signori, Marie Briere and Alexandre Burgues investigate potential benefits to long-term U.S. equity investors… Keep Reading

Are there internal or external signals that predict financial market panic attacks? In the February 2011 revision of their paper entitled “Predicting Economic Market Crises Using Measures of Collective Panic” (flagged by a reader), Dion Harmon, Marcus de Aguiar, David Chinellato, Dan Braha, Irving Epstein and Yaneer Bar-Yam investigate whether indications of the interplay between… Keep Reading

Which firm fundamentals predict associated stocks returns, and which ones do not? In their February 2011 paper entitled “Returns Premia on Company Fundamentals”, Kateryna Shapovalova, Alexander Subbotin and Thierry Chauveau assess the significance, stability and interplay of excess returns for individual stocks as predicted by widely used firm fundamentals. Specifically, they consider: book-to-price ratio; earnings-to-price… Keep Reading

How and why do the value premium and size effect work? In their February 2011 paper entitled “Value and Size Puzzles: A Commented Survey”, Kateryna Shapovalova and Alexander Subbotin review and assess prior research on the value premium and size effect, which play key roles in the most widely use factor models of stock prices…. Keep Reading

Do online forums of arguably well-informed investors pay off for their members? In their February 2011 paper entitled “Talking Your Book: Social Networks and Price Discovery”, Wesley Gray and Andrew Kern study the sharing of valuation beliefs by professional investors via a social network. Specifically, they focus on ValueInvestorsClub.com, “designed to facilitate idea sharing among…250… Keep Reading

Has the academic community made practical progress in specifying asset allocation approaches that mitigate adverse impacts of multi-market crises (systemic risk) on diversified portfolios? Two recent papers address this question in complementary top-down and bottom-up ways. The February 2011 version of “Asset Allocation and Asset Pricing in the Face of Systemic Risk: A Literature Overview… Keep Reading