Stock Market and the Super Bowl
Investor mood may affect financial markets. Sports may affect investor mood. The biggest mood-mover among sporting events in the U.S. is likely the National Football League’s Super Bowl. Is the week before the Super Bowl especially distracting an...
Buyback Size Effect? [PREMIUM]
Do companies reliably repurchase their stocks at bargain prices, thus providing signals for investors to tag along? In the January 2012 update of their paper entitled “Do Firms Buy Their Stock at Bargain Prices? Evidence from Actual Stock Repurch...
Momentum Winners and Trading Calendar Updates
We have updated the Market Models summary as follows: Extended the Earnings Forecast through the end of 2012 based on an estimate of actual earnings for the fourth quarter of 2011. Extended regressions/rolled projections by one month based on data ava...
Commercial and Industrial Credit as a Stock Market Driver
...evidence indicates that the net change in commercial and industrial credit standards as measured by the Federal Reserve Board's quarterly survey of senior loan officers may be a useful predictor of U.S. stock market returns at horizons up to about a...
Gold Seasonality Drivers [PREMIUM]
Does seasonal fear of stock market weakness or demand for jewelry drive gold prices? In his January 2012 paper entitled “The Seasonality of Gold – Jewelery Demand and Investor Behavior”, Dirk Baur examines calendar month seasonality o...
Doug Kass: Lyrical Oracle?
As suggested by readers, we evaluate here Douglas Kass’ outlooks for the U.S. stock market since mid-2006 as extracted from his Seabreeze Partners blog. Douglas Kass is founder and President of Seabreeze Partners Management, Inc., which “...
Value Premium Concentration in January [PREMIUM]
Is the value premium seasonal? In their 2012 paper entitled “Is the Value Effect Seasonal? Evidence from Global Equity Markets”, Praveen Kumar Das and Uma Rao investigate the intersection of the January effect and the value premium in stoc...
Hedge Fund Risk and Return [PREMIUM]
Do hedge funds trade on market risk, idiosyncratic risk or tail risk? In their November 2011 paper entitled “Systematic Risk and the Cross-Section of Hedge Fund Returns”, Turan Bali, Stephen Brown and Mustafa Caglayan explore the predictab...
Optimal Rebalancing Frequency/Months?
...evidence from simple tests on recent data of semiannual rebalancing of a 60-40 stocks-bonds portfolio suggests that it makes no difference which months an investor uses to rebalance.
Momentum Investing for Currencies? [PREMIUM]
Does momentum investing work for currencies as it does for equities? In the December 2011 version of their paper entitled “Currency Momentum Strategies”, Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf investigate momentum ...
Simple Asset Class ETF Momentum Strategy Robustness/Sensitivity Tests [PREMIUM]
How sensitive is the performance of the “Simple Asset Class ETF Momentum Strategy” to selecting ranks other than winners and to choosing a momentum ranking interval other than six months? This strategy each month ranks the following eig...
Doing Momentum with Style (ETFs) Robustness/Sensitivity Tests [PREMIUM]
How sensitive is the performance of “Doing Momentum with Style (ETFs)” to selecting ranks other than winners and to choosing a momentum ranking interval other than six months? This strategy each month ranks the following six style exchan...
