Stock Market Valuation Ratio Trends
To determine whether the stock market is expensive or cheap, some experts use aggregate valuation ratios, either trailing or forward-looking, such as price-earnings ratio (P/E) and price-dividend ratio. Operating under a belief that such ratios are mea...
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...
Testing U.S. Equity Anomalies Worldwide [PREMIUM]
Do widely acknowledged U.S. equity market anomalies exist in other stock markets? If so, why? In his November 2011 paper entitled “Equity Anomalies Around the World” [apparently removed from SSRN], Steve Fan investigates whether a number o...
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 ...
RTV and REY Model Updates
We have updated the details of the the Reversion-to-Value (RTV) Model and the Real Earnings Yield (REY) Model of the U.S. stock market to incorporate data available through December 2011. You May Also Enjoy... Market Models, Momentum Winners and...
40-Year Valuation Ratio Horse Race [PREMIUM]
Which widely used valuation metric is best for picking individual stocks? In their November 2011 paper entitled “Analyzing Valuation Measures: A Performance Horse-Race over the past 40 Years”, Wesley Gray and Jack Vogel compare the perfor...
SumZero Participant Trading Acumen [PREMIUM]
Do analysts who work for hedge funds make good calls? In their November 2011 paper entitled “Do Buy-side Recommendations Have Investment Value?”, Steven Crawford, Wesley Gray, Bryan Johnson and Richard Price III profile analysts employed b...
A Few Notes on What Works on Wall Street
James O’Shaughnessy (Chairman and CEO of O’Shaughnessy Asset Management) introduces his 2011 book, What Works on Wall Street (Fourth Edition): the Classic Guide to the Best-Performing Investment Strategies of All Time, by stating: “...
Out-of-Sample Test of What Works on Wall Street (O’Shaughnessy’s Cornerstone Strategies)
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...
Dividend Month Premium [PREMIUM]
Do investors focus on dividends, thereby elevating associated stock prices as ex-dividend date approaches? In the September 2011 draft of their paper entitled “The Dividend Month Premium”, Samuel Hartzmark and David Solomon examine the pri...
P/E10 and Future Stock Market Returns [PREMIUM]
...evidence from simple tests on long-run data indicates that P/E10 has some predictive power for long-term future returns, but this predictive power does not convincingly translate into an outperforming investment strategy.
