Investing Research Articles

…investors who believe that they can find fund managers who reliably generate alpha should consider the enhanced alpha for higher fee trade-off of 130/30 funds.

…investors should beware of the favorite equity investments of stock market newsletter gurus. Many favorites may be swing-for-the-fences speculations.

…inflation shocks significantly affected the U.S. stock market over the past half century, with disinflation (inflation) shocks increasing (decreasing) stock prices and promoting boom (bust) conditions.

…traders may be able to exploit an attention-driven anomaly for very high momentum stocks by going long from five days before to the morning after earnings announcement and short the next five days.

…while of little value to traders, the industrial production (output) gap may have some meaningful predictive power for broad U.S. stock returns over relatively long periods.

…large speculators in commodity futures generally do make money by exploiting risk premiums derived from the theory of storage (and perhaps from momentum trading).

…the high correlation between equity yield and bond yield derives rationally from the tendency for inflation to be elevated during recessions, such that both equity and bond premiums are relatively high during recessions.

We occasionally select for retrospective review an all-time “best selling” research paper from the past few years from the General Financial Markets category of the Social Science Research Network (SSRN). Here we summarize the June 2007 paper entitled “The Fundamentals of Commodity Futures Returns” (download count over 2,500) by Gary Gorton, Fumio Hayashi and Geert… Keep Reading

…cash flow expectations represent a significant positively correlated component of stock returns at both firm and aggregate levels. Their importance grows with investment horizon, dominating discount rate expectations for horizons over three years.

…properly structured mutual fund redemption fees tend to protect long-term investors by penalizing frequent traders. Small redemption fees of long duration are optimal for long-term investors.