Investing Research Articles

…retrospective analysis indicates that investors can identify growth stocks, but the long-term premium they pay for them is about twice that warranted by actual growth.

…very small numbers of extreme return days have a massive impact on long-term stock returns in emerging markets. The naive probability of predicting which days will be extreme is very low.

…evidence suggests investors/traders tend to overpay for stocks with recent extreme positive daily returns, and these stocks therefore subsequently tend to underperform.

…investors/traders may be able to enhance momentum trading strategies by focusing on stocks that fit most strongly into a growth or value style.

…this compilation of suggestions and questions can help investors/traders assess the credibility of returns claimed by advisory services.

…there is probably a substantial headwind for those speculating on stock pops by buying near-expiration, out-of-the-money call options. Selling such options may be reliably profitable.

…investors may be able to exploit a two-year reversion effect signaled by past returns of the broad value-weighted U.S. stock market.

…hedge fund investors are probably better off with maverick funds, perhaps new ones every couple of years, than with those cut from the herd.

…this simple sector ETF pair trading strategy offers modest average abnormal returns, but only infrequent trading opportunities. A standalone pairs trading strategy of any kind probably requires a large inventory of potential pairs.

Just what does it mean to be a quant? In his December 2002 article entitled “The Boy’s Guide to Pricing & Hedging “, Emanuel Derman offers an “abbreviated poor man’s guide” to quantitative finance. He observes that: