Investing Research Articles

…evidence from several simple tests does not support a belief that increases in interest rates reliably predict low returns for utilities based on horizons of a few weeks, months or quarters. If anything, results suggest that increases in short term rates might relate to good returns for utilities some months hence.

…evidence from simple tests on a sample of limited duration indicates that John Lee’s trades are profitable so long as trade size is reasonably large (so that transaction fees are percentage-wise small). Estimating portfolio-level performance would require additional assumptions and modeling.

…there is not enough public information on FibTimer or financial media sites to support due diligence on the investment performance of Frank Kollar’s advice.

…evidence indicates that a high level of investor sentiment during a bull market may be a useful predictor of low future returns for speculative stocks. Sentiment has little or no power to predict returns during bear markets or for non-speculative stocks.

Several readers have proposed that one can bypass trading frictions…

Do stocks exhibit predictable volatility behavior near their 52-week highs and lows? In their March 2010 paper entitled “How the 52-Week High and Low Affect Beta and Volatility”, Joost Driessen, Tse-Chun Lin and Otto Van Hemert analyze whether a stock’s beta, return volatility and implied volatility change as its price approaches a 52-week high or… Keep Reading

There is a stream of research that indicates three phases of price dynamics in equity markets, reaction – momentum – reversion, that operate over different horizons…

…evidence indicates that the sign (much more than size of profit/loss) of recent trades influences the future trading behavior of individual investors. This influence is adverse to overall profitability.

…investors may be able to streamline the search for anomalous returns by focusing on two factors: (1) firm size, representing the rational risk of failure; and, (2) a seasonal factor related to operating profit and buybacks-secondaries, representing irrational mispricing.

There is not much formal research on Master Limited Partnerships…