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IPO Underperformance
Larry Swing - Jan 16, 2005 - In his 1991 paper, Jay R. Ritter examined the long-run performance of IPOs from several perspectives. While his methodology (using wealth relative values) has been somewhat criticized since, several papers have shown that the general results were robust. Some important results from his study include... Read More
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Capital Investments and Returns
Larry Swing - Jan 9, 2005 - Stocks with the highest capital investments tend to under-perform the stocks with the lowest capital investments by a significant degree.
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NYSE/AMEX versus NASDAQ
Larry Swing - Jan 2, 2005 - In a 2002 study, Ronald W. Masulis and
Lakshmanan Shivakumar study the lag in reaction times between stocks in the NASDAQ and stocks in the NYSE and the AMEX. The authors find that, despite lower transaction costs, NYSE/AMEX firms react much more slowly than NASDAQ stocks, although both had somewhat delayed reactions... Read More
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January Effect
Larry Swing - Dec 26, 2004 - The January effect is a result of tax-related selling in December. This has important ramifications for traders... Read More
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O'Shaughnessy
Larry Swing - Dec 19, 2004 - In the study "Can profitable trading strategies be derived from investment best-sellers?" Chris Brooks, William Chow and Charles W. R. Ward examine the profitability of one
of James P. O'Shaughnessy's trading strategies, and suggest a methodology for examining new trading strategies... Read More
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Increasing Efficiency
Larry Swing - Dec 12, 2004 - A 2002 study in the journal of Applied Financial Economics studied the profitability of several simple trading strategies (moving averages, moving average and momentum,
moving average and volume). The striking part of the finding was not that the strategies were successful, but that the success decayed drastically... Read More
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Put overpricing
Larry Swing - Dec 5, 2004 - Many sectors now appear overbought...
The bullish percent on the S&P 500 is over 74... The VIX has made a multi-year low... Read More
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Institutional Overreaction
Larry Swing - Nov 28, 2004 - The returns of equities with different levels of institutional investments around large market moves... Read More
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Dispersion in Estimates
Larry Swing - Nov 14, 2004 - A recent paper published in the Quarterly Journal of Business & Economics examined the implications of dispersion in analyst estimates. The authors of "Analyst Forecast Dispersion and Future Stock Return Volatility" argue that forecast dispersion gives analysts more freedom to be optimistic, and that this optimism results in increased volatility... Read More
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FX Trading, Equity Analyses
Larry Swing - Nov 7, 2004 - John Okunev and Derek White study the performance of a simple moving average crossover rule in foreign exchange markets... Read More
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