Turn of the Year and Size in U.S. Equities
The turn of the year (December-January) for the U.S. stock market reportedly includes the Santa Claus rally and the January effect. Some research indicates the latter is dead (and was driven essentially by small-capitalization stocks when alive). How...
New “Strategic Allocation” Category
There is a new “Strategic Allocation” category in the list above that collects posts related to selection and weighting of asset classes for long-term diversification benefits. You May Also Enjoy... University Endowment Performance: Strat...
Combining Realized Volatility and Simple Moving Averages [PREMIUM]
...evidence indicates that focusing simple moving average trading rules on stocks with relatively high past-year volatility may be profitable. However, potential optimism in assumptions about trade timing and trading frictions for high-volatility stock...
Bond Market-Aggregate Earnings Interactions [PREMIUM]
Do aggregate corporate earnings predict bond market returns? In his January 2012 paper entitled “Aggregate Earnings and Corporate Bond Markets”, Xanthi Gkougkousi investigates the relationship between aggregate earnings and corporate bond ...
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...
