Investing Research Articles

…limited evidence suggests that simple trend conditions may amplify return anomalies related to the turn of the month and options expiration. As usual monthly variability is fairly large compared to differences in means for monthly segments.

…the Common Sense buy-low/sell-high strategy appears not to be an effective asset allocation approach because it is somewhat out of phase with momentum and value return horizons.

…a very limited test suggests that adding simple moving average signals to asset class momentum investing may enhance returns.

…limited evidence suggests that the stock market forecasting accuracy rate of a reasonably diversified group of experts is roughly stable over time at close to 50-50.

…simple analyses suggest that the TOTM effect may help reduce the loss frequency and average in-the-money expiration loss for selling index put options.

…investors may be able to predict which stocks are headed for substantial declines the next year as management efforts to keep the the price propped up fail.

How many stocks within an equity fund manager’s portfolio represent truly “passionate” (high-conviction) picks? Do passionate picks outperform the diversifying “fillers” in the portfolio, and the market in general? In the March 2009 version of their paper entitled “Best Ideas”, Randy Cohen, Christopher Polk, and Bernhard Silli attempt to identify which holdings in equity mutual… Keep Reading

…limited evidence suggests that investors who rely on fundamental valuation should consider using comparables (valuation multiples) based on harmonic means of several years of historical data as forecast drivers.

The intended characteristics of leveraged and inverse exchange-traded funds (ETF) are obvious. Do they have unintended characteristics that may make them unsuitable for some investors? In their April 2009 paper entitled “The Dynamics of Leveraged and Inverse-Exchange Traded Funds”, Minder Cheng and Ananth Madhavan investigate the dynamics, market impacts, unusual features and investor suitability of… Keep Reading

Do individual investors who trade equity options do better or worse than those who do not? In their October 2008 paper entitled “Option Trading and Individual Investor Performance”, Rob Bauer, Mathijs Cosemans and Piet Eichholtz examine the impact of option trading on individual investor performance. Using all daily trades and end-of-month portfolio positions for 68,146… Keep Reading