Stock Market and the National Election Cycle [PREMIUM]
Many stock market experts cite the year (1, 2, 3 or 4) of the U.S. presidential term cycle as a useful indicator of U.S. stock market returns. Game theory suggests that presidents deliver bad news immediately after being elected and do everything in th...
Unemployment Rate and Stock Returns
The business media and expert commentators sometimes cite the U.S. unemployment rate as an indicator of economic and stock market health, generally interpreting a jump (drop) in the unemployment rate as bad (good) for stocks. Is this indicator in fact ...
Employment and Stocks Over the Intermediate Term
U.S. job gains or losses are a prominent element of the monthly investment-related news cycle, with the the business media and expert commentators generally interpreting changes in employment as an indicator of future economic and stock market health. ...
Value Investing Success Factors [PREMIUM]
What works for value stock investors? In his April 2012 paper entitled “Value Investing: Investing for Grown Ups?”, Aswath Damodaran explores success factors for three distinct types of value investing: (1) mechanical screening for stocks ...
ADP Employment Report and Stock Returns
Since May 2006, the monthly ADP National Employment Report has presented “estimates of nonfarm private employment…constructed from ADP’s data on payrolls following a procedure similar to that used by the BLS [Bureau of Labor Statistic...
Enhanced VIX Futures ETNs [PREMIUM]
Are there exchange-traded notes (ETN) based on S&P 500 Index implied volatility (VIX) futures, or combinations of such ETNs, that are attractive for absolute return and diversification? In their April 2012 paper entitled “Understanding ETNs ...
Personal Savings Rate and the Stock Market
In a past entry in his blog, guru Marc Faber observes: “There seems to be an inverse relationship between the savings rate and the stock market performance. When the savings rate is declining it is favorable for equities whereas when savings rate...
Models, Momentum Winners and Trading Calendar Updates
We have updated the Market Models summary as follows: Incorporated estimated Standard & Poor’s earnings results for the first quarter of 2012 (revision likely). Extended regressions/rolled projections by one month based on data available thr...
Optimized Currency Trading as Portfolio Diversifier [PREMIUM]
How attractive can currency trading be after optimizing across several anomalies? In the November 2011 version of their paper entitled “Beyond the Carry Trade: Optimal Currency Portfolios”, Pedro Barroso and Pedro Santa-Clara examine the pe...
Variance Risk Premium Predictive Power Worldwide [PREMIUM]
Does the variance risk premium (derived from the mostly positive gap between options-implied equity market volatility and actual equity market volatility) robustly predict stock market returns worldwide? In the March 2012 version of their paper entitle...
Economic Announcements and VIX [PREMIUM]
Do economic announcements systematically remove uncertainty from financial markets and thus reliably lower implied volatility indexes? In their September 2010 paper entitled “The Impact of Macroeconomic Announcements on Implied Volatilities”...
Do Homebuilders Lead the Market?
...evidence from a simple analysis of historical stock prices does not support a belief that homebuilder stocks are early warning indicators for equities in general.
