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Stock Returns Around Labor Day 27 Aug 2013 | 03:04 pm
...best guess is that any anomalous U.S. stock market behavior around Labor Day is strength one trading day before or one trading day after the holiday, with high volatility on the latter day, but noi...
Monetary Policy and Stocks in Europe [PREMIUM] 26 Aug 2013 | 03:06 pm
Do investors reliably reallocate between equities and cash in response to changes in government monetary stance? In their July 2013 paper entitled “Asset Allocation and Monetary Policy: Evidence from ...
Weekly Summary of Research Findings: 8/19/13 – 8/23/13 [PREMIUM] 23 Aug 2013 | 11:00 pm
Below is a weekly summary of our research findings for 8/19/13 through 8/23/13. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Assessing Investment Strategy Snooping Bias [PREMIUM] 23 Aug 2013 | 03:01 pm
Investors typically employ backtests to estimate future performance of investment strategies. Two approaches to assess in-sample optimization (data snooping) bias in such backtests are: Reserve (hold ...
Halloween Indicator Out-of-sample Test [PREMIUM] 22 Aug 2013 | 03:01 pm
Does the Halloween effect (sell in May) still hold? In the June 2013 version of their paper entitled “Are Stock Markets Really so Inefficient? The Case of the ‘Halloween Indicator’”, Hubert Dichtl and...
Testing the Fed Model 21 Aug 2013 | 03:04 pm
The guiding belief of the Fed Model of stock market valuation is that investors use a Treasury note (T-note) yield as a benchmark for the expected (forward) earnings yield of the stock market. When th...
Fed Model or P/E Model for Predicting Stock Market Corrections? [PREMIUM] 20 Aug 2013 | 03:09 pm
Can investors rely on overvaluation signals from the market price-earnings ratio (P/E) and the Fed Model to predict major stock market corrections? Which model works better? In their July 2013 paper e...
Home Prices and the Stock Market [PREMIUM] 19 Aug 2013 | 03:09 pm
...data from the past 41 years indicate little or no contemporaneous relationship between the equity market and the residential real estate market. There may be a weak, inverse, multi-year relationshi...
Weekly Summary of Research Findings: 8/12/13 – 8/16/13 [PREMIUM] 16 Aug 2013 | 11:00 pm
Below is a weekly summary of our research findings for 8/12/13 through 8/16/13. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Asset Allocation Based on Trends Defined by Moving Averages [PREMIUM] 16 Aug 2013 | 03:02 pm
Does trading based on simple moving average crossings reliably improve the performance of a portfolio diversified across asset classes? In the February 2013 update of his paper entitled “A Quantitativ...
