How can retirees optimally segregate reliable income from risky growth? In their November 2011 paper entitled “The Floor-Leverage Rule for Retirement”, flagged by a subscriber, Jason Scott and John Watson examine a retirement allocation strategy...
What do insiders regard as red flags for corporate earnings manipulation? In their May 2013 paper entitled “Earnings Quality: Evidence from the Field”, Ilia Dichev, John Graham, Campbell Harvey and Shiva Rajgopal report earnings quality...
Iterative testing of strategies on a set of data introduces snooping bias, such that a winning (losing) strategy is to some degree lucky (unlucky). Sharing of strategies across a community of researchers carries the luck...
For an illiquid asset class such as art, many individual assets do not trade within commonly used return measurement intervals (such as a year). When a relatively few works of art account for most of...
Do emerging markets still deserve their reputation as a portfolio-diversifying asset class? In the October 2013 version of their paper entitled “Emerging Equity Markets in a Globalizing World”, Geert Bekaert and Campbell Harvey examine whether,...
Do funds that have Ph.D. holders in key positions outperform those that do not? In their October 2013 paper entitled “What a Difference a Ph.D. Makes: More than Three Little Letters”, Ranadeb Chaudhuri, Zoran Ivkovich,...
Do stocks of firms that initiate buybacks (open market stock repurchases) tend to appreciate due to elevated takeover risk? In the October 2013 draft of their paper entitled “The Timing and Source of Long-run Returns...
Is there exploitable feedback between stock returns and behaviors of associated options due to concentration of informed traders in one market or the other? In the October 2013 version of their paper entitled “The Joint...
Is producing real estate (farmland, timberland, energy delivery infrastructure and commercial properties) a good investment? In his May 2013 paper entitled “The Performance of Direct Investments in Real Assets: Natural Resources, Infrastructure and Commercial Real...
Do equity analyst stock recommendations have the same post-publication predictive value worldwide? In the September 2013 version of their paper entitled “Where are the World’s Best Analysts?”, Campbell Harvey, Sam Radnor, Khalil Mohammed and William...
Are other precious metals more effective than gold as safe havens from turmoil in stock and bond markets? In their September 2013 paper entitled “Time Variation in Precious Metal Safe Haven Status — Evidence from...
Is platinum as good as gold? In the September 2013 version of their paper entitled “Analysis of the Investment Potential of Platinum Group Metals”, James Ross McCown and Ron Shaw evaluate the investment value of...
Do expert investment consultants advising institutions recommend outperforming funds? In their September 2013 paper entitled “Picking Winners? Investment Consultants’ Recommendations of Fund Managers”, Tim Jenkinson, Howard Jones, and Jose Vicente Martinez analyze survey data to...
What is the state of cyclically adjusted price-earnings ratios (CAPE, P/E10 or Shiller PE), stock index level divided by average real earnings over the past ten years, across country equity markets worldwide? In his October 2013 paper...
Five years ago, a reader noted and asked: “CNBC’s Fast Money cited a ‘seasonal’ strategy described in Barron’s, as follows: Go long the market from Wal-Mart’s (WMT) earnings release until Alcoa’s (AA) earnings release and...
The “Most Admired Knowledge Enterprise” (MAKE) awards, based on opinions gathered from experts using the Delphi method (three or four rounds of the experts anonymously exchanging views), recognizes exemplary organizational knowledge management. Does the market consider this...
Which long-term smoothed (10-year average) stock valuation metric works best to screen stocks? In the end-of-September 2013 version of their paper entitled “On the Performance of Cyclically Adjusted Valuation Measures”, Wesley Gray and Jack Vogel...
Do book value-to-price ratio (B/P) and earnings-to-price ratio (E/P) indicate reward-for-risk opportunities at the country level worldwide? In their September 2013 paper entitled “Risky Value”, Atif Ellahie, Michael Katz and Scott Richardson investigate relationships among...
Has Modern Portfolio Theory failed to deliver over the past decade because users employ long-term averages for expected returns, volatilities and correlations that do not respond to changing market environments? Do short-term estimates of these key inputs...
Does the aggregate trading of retail investors usefully predict future stock market returns? Each month, TD Ameritrade samples the equity market exposures of retail clients and publishes the Investor Movement Index (IMX) as a summary statistic....
Do recent reactions of gold price to interest rate-related U.S. economic announcements (rising on rate-suppressing news) mean that gold acts like a bond? In their September 2013 paper entitled “What if Gold is a Bond?”,...
Does the conventional wisdom of a declining allocation to stocks throughout retirement really work best? In their September 2013 paper entitled “Reducing Retirement Risk with a Rising Equity Glidepath”, Wade Pfau and Michael Kitces explore alternative...
A reader suggested a review of the stock market commentary of Mark Hulbert, editor of the Hulbert Financial Digest, which tracks the recommendations of a wide range of investing newsletters. He is also a regular...
Investors typically employ backtests to estimate future performance of investment strategies. Two approaches to assess in-sample optimization bias in such backtests are: Reserve (hold out) some of the historical data for out-of-sample testing. However, surreptitious direct...
Should investors worry that investment strategies available in the marketplace may derive from optimization via intensive backtesting? In the September 2013 update of their paper entitled “Backtest Overfitting and Out-of-Sample Performance”, David Bailey, Jonathan Borwein,...