Investing Research Articles

The valuation-based method described in “Modeling the Logic of Valuation-motivated Short Sellers” is a candidate…

…The Dark Side of Valuation presents quantitative approaches to modeling the worth of companies for which valuation is especially complex and/or judgmental.

…the beliefs that appear to motivate the approach described on the web site have support from research.

…the Social Science Research Network (SSRN) is the principal resource for papers that feed CXOadvisory.com summaries of research done by others.

…individual investors tend to have above-average intelligence but still be genetically constrained from free-wheeling use of that intelligence in making investment choices.

Continuation of uncanniness is a possibility, but instead the past relationship may derive from substantial data snooping bias and thus break down out of sample.

Jason Kelly has occasionally requested further explanation and reconsideration regarding our evaluation of his forecasting record. His requests and our responses follow:

…evidence indicates that employment growth relates negatively to future stock market behavior, most strongly at a one-year forecast horizon.

…it may be that trading frictions materially degrade the outcomes presented for these two investing strategies. It would be difficult for most individual investors to establish economical positions (very large with respect to transaction fees) for so many stocks.

…evidence suggests that past six-month fund return is a stronger indicator of mutual fund momentum than either nearness of fund net asset value to its one-year high or a more abstract sensitivity of fund returns to stock return momentum.