Investing Research Articles

…in the absence of equity investment manager performance data that demonstrates strong and persistent net outperformance of the broad market, individual investors are likely better off buying and holding low-cost index funds directly.

…the Efficient Markets Hypothesis is arguably evolving to incorporate genetic material from the theories of psychology, games, learning and biological evolution.

…there is practically no overall relationship between last-month change in T-note yields and next-month stock returns since the beginning of 1990. Extreme T-note yield shocks, negative and positive, may be bullish for stocks, but small subsample sizes greatly limit the reliability of this conclusion.

…agile traders may be able to capture significant short-term gains in stocks targeted by hedge funds via large equity positions and aggressive, specific and public demands on management.

…Australian stock fund managers on average exhibit no timing ability in executing trades of individual stocks, but some managers do consistently outperform others.

Does value beat growth among the stocks of large European firms? In their May 2007 paper entitled “Style Migration in the European Markets”, Antti Pirjetä and Vesa Puttonen compare the performances of simple value and growth styles against MSCI Europe as a benchmark index. They employ a market value-book value ratio (P/BV) to define four… Keep Reading

…stock betas change over time, and strategies that track these changes with high-frequency data can generate abnormal returns. Stocks with long-term high (low) but recently decreasing (increasing) betas are buys (sells).

A reader notes and asks: “It is frequently said that stocks at 52-week highs are the most likely to outperform in the future. Is there any academic evidence to support this assertion?” In their October 2004 Journal of Finance article entitled “The 52-Week High and Momentum Investing”, Thomas George and Chuan-Yang Hwang examine the explanatory… Keep Reading

…inflation levels and expectations are key to equity market performance, and monetary policies that successfully manage inflation risks would promote stock market stability.

…stocks of firms with high ACSI customer satisfaction ratings outperform the market on average over the long term. Said differently, investors appear to undervalue customer satisfaction systematically.