Testing the Rydex Asset Ratio
A reader suggested looking at Rydex asset ratios as stock market sentiment indicators. The reasoning for these indicators is that a high (low) ratio of assets in bullish funds to assets in bearish funds indicates an overbought (oversold) market. Are th...
A Few Notes on The Most Important Thing
Howard Marks introduces his 2011 book, The Most Important Thing: Uncommon Sense for the Thoughtful Investor, by stating: “…I have built this book around the idea of the most important things–each is a brick in what I hope will be a so...
Investment Managers and Market Timing
Do professional money managers as a group successfully time the stock market? The National Association of Active Investment Managers (NAAIM) is an association of registered investment advisors who provide active money management services to their clien...
Wonders of the World and Market Tops
Does construction of new tallest-in-the-world buildings indicate financial hubris and therefore pending equity market weakness? In the March 2011 version of his paper entitled “Tower Building and Stock Market Returns”, Gunter Löffler relat...
Exploitable Retail Trader Herding Robustness Tests [PREMIUM]
“Exploitable Retail Trader Herding?” investigates the usefulness of the correlation of past weekly returns between small stocks and large stocks as a trading indicator, finding support for a belief that the indicator has predictive value. H...
Exploitable Retail Trader Herding? [PREMIUM]
Is there evidence of investor herding in the variation of return correlations for individual stocks? In their January 2011 paper entitled “Asymmetric Correlations”, Tarun Chordia, Amit Goyal and Qing Tong investigate when and why return cor...
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...
Stated Beliefs Versus Trading Behavior
Do individual investors actually trade on their stated beliefs? In their February 2011 paper entitled “Do Investors Put Their Money Where Their Mouth Is? Stock Market Expectations and Trading Behavior”, Christoph Merkle and Martin Weber com...
Stated Beliefs Versus Trading Behavior
Do individual investors actually trade on their stated beliefs? In their February 2011 paper entitled “Do Investors Put Their Money Where Their Mouth Is? Stock Market Expectations and Trading Behavior”, Christoph Merkle and Martin Weber compare quarterly risk and return expectation survey responses to actual trading data and portfolio holdings for a group of self-directed...
Margin Debt as a Stock Market Indicator [PREMIUM]
Does margin debt serve as an intermediate-term stock market sentiment indicator based on either momentum (with an increase/decrease in margin debt signaling a continuing stock market advance/decline) or reversion (with high/low margin debt signaling a ...
Factor Universality?
...evidence from German stocks supports belief in the pervasiveness of a momentum effect and perhaps a value premium, but not market beta and size effects. Any sentiment effect is likely weak, specific to susceptible stocks and concentrated in intervals after very low sentiment.
