Investing Research Articles

…investors should probably use the excess market return (beta), size and liquidity factors in explaining and predicting individual stock returns, but not the book-to-market ratio (value factor) or other commonly used stock/firm-specific factors.

…evidence indicates that an up/down January is predictive of February-December outperformance/underperformance for the broad U.S. stock market (but not for most other equity markets). However, it may not support an effective market timing strategy as a standalone signal.

…VIX is a roughly mean-reverting and asymmetrical measure of the price of stock portfolio insurance, and that price is empirically reasonable.

Do long-term stock market timing models work? If so, which type works best? In their October 2005 paper entitled Timing is Everything: A Comparison and Evaluation of Market Timing Strategies, Chris Brooks, Apostolos Katsaris and Gita Persand investigate the profitability of several timing models over a very long sample of S&P 500 index returns. Specifically,… Keep Reading

A rare sighting…

…”normal” statistical metrics and associated risk management methods do not work in the realm of Black Swans (including financial markets). Redundancy, not optimization, helps manage risk in this realm.

…the Darlings of the Dow strategy offered solid returns over the short post-publication period of 2002-2007, but the level of data mining bias in these returns is unknown and strategy adjustments have impaired out-of-sample testing.

…investors/traders may be able to earn significant abnormal returns by following the lead of short sellers when the short sellers disagree with expert equity analysts (short sellers know best).

…equity returns may react quickly to some predictors and slowly to others, and they may respond most strongly to short or extended predictor movements. “Standardized” approaches to predictor interval measurement may not work.

We evaluate here the weekly “The Outlook” column in BusinessWeek online by Standard and Poor’s since May 2003 (the earliest available). According to Standard & Poor’s, “‘The Outlook‘ is a unique investment advisory service…[that] provides solid research, unbiased investment ideas and market perspective… [It] presents investment information and advice in a concise way that helps… Keep Reading