Which individual stock pickers beat the market? In their September 2013 paper entitled “The Information Content of Investors’ Expectations for Risk and Return”, Thomas Berry and Keith Jacks Gamble examine the performance of the most...
Do low-risk bonds, like low-risk stocks, tend to outperform their high-risk counterparts? In their September 2013 paper entitled “Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets”, Raul Leote de Carvalho, Patrick Dugnolle,...
How does wine perform as a long-term investment? In the September 2013 version of their paper entitled “The Price of Wine”, Elroy Dimson, Peter Rousseau and Christophe Spaenjers examine the performance of wine as a...
Are stocks so attractive over the long run that they crowd bonds and cash out of the optimal portfolio? In their September 2013 paper entitled “Optimal Portfolios for the Long Run”, David Blanchett, Michael Finke...
Should long-term investors focus on terminal wealth and ignore interim volatility? In his August 2013 paper entitled “Rethinking Risk”, Javier Estrada compares distributions of terminal wealths for $100 initial investments in stocks or bonds over investment...
Does purifying stock return rankings of any dependence on Fama-French three-factor model risk factors enhance momentum strategy performance? In an update of their August 2009 paper entitled “Residual Momentum”, David Blitz, Joop Huij and Martin Martens suppress exposures...
Are collectibles good long-term investments? In their September 2013 paper entitled “The Investment Performance of Emotional Assets”, Elroy Dimson and Christophe Spaenjers estimate long-term returns for selected collectibles and review the risks associated with such investments....
Does combining past return rankings at long (multi-year) and short (3-12 months) intervals offer a means of boosting momentum strategy returns? In their August 2013 paper entitled “Price Momentum Components: Evidence from International Market Indices”,...
The following table summarizes ranking of asset classes by subscribers responding during August 2013 to the following question (via the home page poll): “Which of the following asset classes do you expect to perform best...
Can traders exploit the essential price-moving sentiment expressed in news articles about stocks? In their August 2013 paper entitled “News versus Sentiment: Comparing Textual Processing Approaches for Predicting Stock Returns”, Steven Heston and Nitish Sinha...
We are continuing to test interest in a poll regarding which of nine asset classes will perform best during the next calendar month (September 2013). The poll is in the right-hand column on the CXOadvisory.com home...
Research on hedge fund performance derives from voluntary reports by hedge funds to commercial databases. This environment encourages: (1) backfill bias (non-reporting funds doing well are most likely to begin reporting, including historical data that...
Do investors reliably reallocate between equities and cash in response to changes in government monetary stance? In their July 2013 paper entitled “Asset Allocation and Monetary Policy: Evidence from the Eurozone”, Harald Hau and Sandy...
Does the Halloween effect (sell in May) still hold? In the June 2013 version of their paper entitled “Are Stock Markets Really so Inefficient? The Case of the ‘Halloween Indicator'”, Hubert Dichtl and Wolfgang Drobetz...
The guiding belief of the Fed Model of stock market valuation is that investors use a Treasury note (T-note) yield as a benchmark for the expected (forward) earnings yield of the stock market. When the...
Can investors rely on overvaluation signals from the market price-earnings ratio (P/E) and the Fed Model to predict major stock market corrections? Which model works better? In their July 2013 paper entitled “Does the Bond-Stock Earning Yield...
We are continuing to test interest in a poll regarding which of nine asset classes will perform best during the next calendar month (September 2013). The poll is in the right-hand column on the CXOadvisory.com home...
Does trading based on simple moving average crossings reliably improve the performance of a portfolio diversified across asset classes? In the February 2013 update of his paper entitled “A Quantitative Approach to Tactical Asset Allocation”,...
Will increases in central bank and investor holdings of gold drive its price higher? Or, is the price of gold in bubble territory, portending weak future returns? In the May 2013 update of their paper...
Does exceptional (idiosyncratic) stock volatility exploitably predict future returns? In her April 2013 paper entitled “Revisiting Idiosyncratic Volatility and Stock Returns”, Fatma Sonmez re-examines the relationship between idiosyncratic volatility and future stock returns. She defines idiosyncratic...
Do the relationships among returns for stocks and the most heavily traded commodities (gold and crude oil) consistently offer risk diversification? In their July 2013 paper entitled “Gold, Oil, and Stocks”, Jozef Baruník, Evzen Kocenda...
Do quantitatively-driven mutual fund managers such as John P. Hussman, Ph.D, president of Hussman Investment Trust, successfully time the stock market? He describes his market timing approach as follows: “The key elements in evaluating securities...
How well does stock screening research translate into performance? In the mid-1990s, James O’Shaughnessy identified “cornerstone value” and “cornerstone growth” as best-of-breed equity investment strategies. The former emphasizes dividends among large-capitalization stocks, and the latter...
Does the carry trade concept provide a useful framework for valuation of securities within and across all asset classes? In their July 2013 paper entitled “Carry”, Ralph Koijen, Tobias Moskowitz, Lasse Pedersen and Evert Vrugt investigate expected...
The following table summarizes ranking of asset classes by subscribers responding during July 2013 to the following question (via the home page poll): “Which of the following asset classes do you expect to perform best...