Do Hedge Fund Investors Chase or Successfully Time Returns?
January 24, 2008 - Mutual/Hedge Funds
…presumably sophisticated hedge fund investors as a group chase past returns and fail to time their investments successfully.
January 24, 2008 - Mutual/Hedge Funds
…presumably sophisticated hedge fund investors as a group chase past returns and fail to time their investments successfully.
January 23, 2008 - Technical Trading
…the apparent outperformance of the The Trend Trade Letter may disappear after correcting for trading frictions, market conditions and data errors.
January 21, 2008 - Equity Premium
…U.S. finance professors on average, as of the end of 2007, expect stocks to offer a 5% annual (geometric) risk premium over the next 30 years, a little below their expectation in 2001.
January 16, 2008 - Mutual/Hedge Funds
…hedge funds in aggregate exploit a few of the “famous” anomalies, but they apparently have other methods of generating abnormal returns.
January 14, 2008 - Big Ideas, Buybacks-Secondaries, Momentum Investing, Size Effect, Value Premium
…some anomalies are stronger and more consistent than others. Momentum appears to be the strongest and most consistent.
January 11, 2008 - Fundamental Valuation
…investors may be able to generate substantial abnormal returns by combining the effects of earnings and accruals surprises, qualified by overall firm operating performance.
January 8, 2008 - Sentiment Indicators
…the UBS/Gallup Investor Optimism Index is modestly reactive to recent stock market behavior, but it has no predictive power for stock returns (even before its release to the public).
January 7, 2008 - Momentum Investing, Value Premium
…value and momentum investing may work across a broad range of asset classes, and the two effects are independent enough that combining them may yield incremental outperformance.
December 31, 2007 - Investing Expertise
…investors may find edges by considering both the levels of and changes in analyst stock ratings, with the combination more powerful than the separate indications.
December 20, 2007 - Calendar Effects
…monthly returns for mid-term to long-term Treasuries exhibit a seasonality that is roughly the mirror image of that for stock returns, with November standing out as an exception (strong for stocks and Treasuries).