Investing Research Articles

…traders may be able to exploit predictable seasonal changes in implied volatility that derive from the effects of investor mood on perceived risk and not from variations in actual risk.

…individual active traders on average may be able to beat the market when collaborating on trading methods and opportunities.

Is there a predictable market reaction to stocks reaching round-number n-day highs and lows? In their November 2007 paper entitled “Highs and Lows: A Behavioral and Technical Analysis”, Bruce Mizrach and Susan Weerts investigate whether there are systematic trading behaviors for stocks posting 10-day, 25-day, 50-day, 100-day, 150-day, 200-day and 52-week highs and lows. Using… Keep Reading

…Lenny Dykstra’s deep-in-the-money call options (leveraged) strategy depends more on pure volatility and favorable market conditions than on skill in timing the movements of the underlying stocks. A substantial, multi-month market decline could cause the strategy to crash, seriously impacting long-term return on investment.

Do commodity futures exhibit short-term momentum and long-term reversion, as do stocks? In the August 2006 version of their paper entitled “Momentum Strategies in Commodity Futures Markets”, Joelle Miffre and Georgios Rallis examine the profitability of 32 momentum (short-term continuation) and 24 contrarian (long-term reversal) strategies in commodity futures markets. The momentum strategies buy (sell)… Keep Reading

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 January 2006 paper entitled “The Tactical and Strategic Value of Commodity Futures” (download count over 2,400) by Claude Erb and Campbell… Keep Reading

…evidence from this UK study supports a belief that a portfolio of stocks with high dividend yields outperforms the broad market most of the time.

…hedge funds that are truly new offer investors notable average outperformance for the first couple of years. However, funds that back fill prior performance data when they first start reporting appear to have already “used up” their startup alpha.

…evidence suggests that stocks with low institutional trading activity (distinct from institutional ownership) tend to be overpriced, with amplified return anomalies.

We evaluate here the market commentary of Richard Rhodes, previously available via Zacks.com over the period March 2004 through October 2005. Richard Rhodes, editor of “The Rhodes Report” newsletter, is one of Zacks’ “pros.” His “proprietary models…provide specific trading recommendations not found at any other shop on or off of Wall Street.” The table below… Keep Reading