Investing Research Articles

…a strategy of systematically selling index put options generates on average large abnormal returns but suffers occasional very large setbacks when the underlying index plunges.

As suggested by a reader, we evaluate here the market commentary of David Nassar via MarketWatch for November 2004 through May 2006. David Nassar is the chairman and chief executive of MarketWise.com, “a company built by traders and investors offering quality university level education with enduring benefits.” Their mission is “to support traders and investors… Keep Reading

…investors may systematically undervalue the stocks of the most admired companies.

…the stock market after a bad week (month) exhibits neither momentum nor reversal reliably the following week (month).

…put-call option ratios as defined have significant predictive power for individual stocks, with high (low) ratios indicating short-term underperformance (outperformance). However, this effect relates predominately to data that is not publicly available. Also, the effect does not work for index options.

…investors/traders appear not to consider recent inflation rate trend or volatility in deciding whether to buy or sell stocks.

…combining a value investing style with a screen for high return on invested capital (productivity) may yield very high-performing portfolios.

…the sponsors of retirement/endowment plans show little timing ability in hiring and firing investment managers. There is some evidence that more sophisticated sponsors (of large plans and of plans that invest internationally) make better decisions.

…the uses of empirical research on financial markets derive in large measure from sampling frequency (supporting either short-term or long-term prediction) and sample duration (supporting either reliable or unreliable inference).

Financial econometrics gives empirical life (and death) to financial market models. Where has this rapidly growing branch of economics been, where is it now and where is it going? In the October 2006 revision of his article entitled “Financial Econometrics”, Andrew Lo provides an introduction to four decades of the field’s most influential academic papers…. Keep Reading