Investing Research Articles

…the stock return momentum effect wasn’t there, then it was there for a long time, and now it’s gone.

…it is very difficult for individual investors to beat the market. Infrequent trading and lower-risk holdings have been key to relative outperformance since 2000.

Are company stock buybacks equivalent to cash dividends for stockholders? Conversely, are company sales of stock “undividends” for stockholders? A forthcoming article in the April 2007 Journal of Finance addresses these questions. In the underlying September 2005 paper entitled “On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing”, Jacob Boudoukh, Roni Michaely,… Keep Reading

…there is no reliable weather-sun-moon risk premium.

…implied or expected volatility (VIX) should tentatively be viewed as a fifth factor in modeling stock returns because it affects them both directly in a multi-factor model and indirectly through the other risk factors.

…only about 20% of all hedge funds have produced after-fee returns that clearly beat those of statistical replicants that mechanically trade a basket of liquid futures contracts.

As the esteemed, erudite chorus of the downside constantly reminds us, Bear Claus…

…analysts tend to walk their earnings forecasts down as release of actuals approaches, and this walk-down effect is stronger for analysts that have good relationships with management.

Suppose quack financial advisors offered their services to naive investors. What would happen? In the December 2005 version of his paper entitled “The Market for Quacks”, Ran Spiegler applies game theory to a scenario that fits by analogy. He imagines a group of “quacks” in a price competition to attract and retain “patients” who recover… Keep Reading

…the stocks of companies least admired by the ostensibly well-informed may well outperform the stocks of the companies most admired.