Prediction of Industry-level Returns Based on Oil Price Changes [PREMIUM]
Do oil price variations reliably affect returns for U.S. industry-level stock portfolios? In the June 2011 draft of their paper entitled “U.S. Industry-Level Returns and Oil Prices”, Qinbin Fan and Mohammad Jahan-Parvar apply several tes...
Announcement Tone and Short-term Reaction to Earnings News [PREMIUM]
Does the semantic tone of an earnings announcement, as measured independently of the level of earnings surprise, affect stock price reaction. In his September 2011 paper entitled “Short-term Reactions to News Announcements”, Michal Dzielin...
CSI: Wall Street [PREMIUM]
Can investors apply forensic accounting principles (searching for inconsistencies, irregularities and other signs of trouble) to help forecast stock returns? In their July 2011 paper entitled “To Catch a Thief: Can Forensic Accounting Help Pre...
Does the Magic Formula Produce Enchanting Returns?
A reader commented and asked: “One of the most read investing books in the U.S. is Joel Greenblatt’s The Little Book that Beats the Market, which reveals the ‘magic formula’. What do you think of it ?” In response, rather ...
Returns Around Earnings Announcements Worldwide [PREMIUM]
Do stocks around the world tend to perform better around the time of annual earnings announcements by respective firms than during the rest of the year? In the June 2011 draft of their paper entitled “The Earnings Announcement Premium Around the ...
Creative Destruction Risk Premium [PREMIUM]
Are some firms more at risk of creative destruction by new technologies? If so, does the market offer a premium to investors in such firms? In his March 2011 paper entitled “Creative Destruction and Asset Prices”, Joachim Grammig explores t...
Value Premium as Risk Compensation [PREMIUM]
Are value stocks priced low because the companies are in financial distress? In their May 2011 paper entitled “Is the Value Premium Really a Compensation for Distress Risk?”, Wilma de Groot and Joop Huij investigate the relationships betwee...
Enhancing/Streamlining Asset Rotation [PREMIUM]
Can investors systematically benefit from the perspective that trading is the exchange of one asset for another, not the buying and selling of a single asset? In his paper entitled “Optimal Rotational Strategies Using Combined Technical and Funda...
The Earnings Yield Anomaly Revisited [PREMIUM]
Does the earnings yield (inverse of price-to-earnings ratio, or E/P) usefully predict returns for individual stocks? In their April 2011 paper entitled “Reexamination of the Earnings-Price Anomaly by the Buy-Sell Strategy”, Hsin-Yi Yu and L...
Evolution of the Accruals Anomaly (to Extinction?) [PREMIUM]
Is the accruals anomaly still on solid ground? In their paper entitled “The Accrual Anomaly”, Patricia Dechow, Natalya Khimich, and Richard Sloan review the origin of and subsequent research on the accruals anomaly. They characterize accrua...
The Efficient Innovation Premium [PREMIUM]
Do the stocks of firms that get the most bang per research buck tend to outperform? In the March 2011 update of their paper entitled “Innovative Efficiency and Stock Returns”, David Hirshleifer, Po-Hsuan Hsu and Dongmei Li investigate the r...
Interaction of Investor Sentiment and Stock Return Anomalies [PREMIUM]
Does aggregate investor sentiment affect the strength of well-known U.S. stock return anomalies? In their January 2011 paper entitled “The Short of It: Investor Sentiment and Anomalies”, Robert Stambaugh, Jianfeng Yu and Yu Yuan explore the...
