CFA Institute Equity Investments

Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets

Thu, 03 May 2012 09:30:21

The authors investigate changes in the volatility of emerging market stocks after foreign investors have made large investments. They find that such investments lower the volatility, and they ascribe this stabilizing effect to the large foreign ...

What Segments Equity Markets?

Thu, 03 May 2012 09:35:14

The authors examine whether globalization and financial openness have narrowed the differences in valuation between equity markets. They find that valuation differences are influenced by countries? regulations of capital flows and such nonregulatory ...

What Does Equity Sector Orderflow Tell Us about the Economy?

Thu, 03 May 2012 09:35:41

The authors study the impact of orderflow on the macroeconomy. They suggest that relative price changes do not reflect all information contained in trading activity and that orderflow may include other, unique information. In addition, they seek to ...

Bank Shots

Fri, 04 May 2012 10:41:15

U.S. and global banks face ?one of the most challenging operating environments in history.?

Market Drivers: Fundamentals vs. Technicals

Fri, 04 May 2012 11:06:09

Is the market driver by fundamental factors, technical factors, or a mix of both?

Earnings Conference Calls and Stock Returns: The Incremental Informativeness of Textual Tone

Thu, 10 May 2012 09:16:04

Corporate disclosures are increasingly being announced via quarterly earnings conference calls. In addition to factual information, language and tone play an important role in predicting abnormal returns and trading volume. Earnings surprises over the 60 ...

Tactical Equity Investing across Bull and Bear Markets

Thu, 10 May 2012 09:21:06

The authors investigate the effect that the market state, as defined by a moving average benchmark, can have on popular stock investment strategies involving size, yield, and momentum. They also examine interactions between variables and advocate for the ...

Value Investing: Investing for Grown Ups?

Thu, 10 May 2012 09:48:36

The author describes three distinct strands of value investing. The first, passive value investing, can be traced to Benjamin Graham and is built around screening for stocks that meet specific characteristics ? low multiples of earnings or book value, ...

Inside the Opening Auction

Thu, 17 May 2012 11:01:04

The opening auctions at the NYSE and NASDAQ are integral to providing liquidity for both traders and passive investors. Some traders, however, either bypass them or participate with unintended effects because of a lack of information combined with ...

Information Leakage Prior to Company Issued Guidance

Thu, 17 May 2012 15:34:20

The authors find that information leakages prior to public earnings guidance issued by company management exist even after Regulation FD, and are more pronounced when characteristics of the firm, the guidance, or the industry reflect higher levels of ...

Are Stocks Really Less Volatile in the Long Run?

Thu, 17 May 2012 15:45:56

Annualized volatility of stock returns is widely thought to be lower over long horizons than over short horizons, due to mean reversion induced by return predictability. However, the authors find that stocks are substantially more volatile over long ...

Under/Over-Valuation of the Stock Market and Cyclically Adjusted Earnings

Fri, 18 May 2012 13:45:43

The ratio between current earnings per share and share price (the EP ratio) is widely considered to be an effective gauge of under/over-valuation of a firm's stock. Arguably, a more reliable indicator (the cyclically-adjusted EP ratio) can be obtained by ...

An International Analysis of Earnings, Stock Prices and Bond Yields

Fri, 18 May 2012 13:49:39

The authors assess the relationship between stock index prices, earnings and long-term government bonds in thirteen countries and over a span of three decades. They find that the Fed Model, which argues that the fair value equity yield should equal the ...

Exploiting Option Information in the Equity Market

Mon, 21 May 2012 14:31:01

Public option market information contains exploitable information for equity investors for an investable universe of liquid large-cap stocks. Strategies based on several option measures predict returns and alphas on the underlying stock. Transaction ...

Is Momentum Really Momentum?

Wed, 23 May 2012 10:30:16

The author finds that momentum is primarily driven by firms? stock performance 7 to 12 months prior to portfolio formation, not by a tendency of rising and falling stocks to keep rising and falling. Strategies based on recent past performance generate ...

Measuring and Modeling Execution Cost and Risk

Thu, 24 May 2012 09:26:03

Previous studies of equity market execution costs have typically focused on the return to trading, which estimates transaction costs. They have generally not accounted for the risk of trading, which is related to the time to fill each order. Orders ...

66th CFA Institute Annual Conference

Mon, 30 Apr 2012 15:18:33

The risk, opportunities, and challenges facing the global investment profession are as complex as ever and investment professionals must remain current. If you attend only one investment conference this year, make sure it?s the CFA Institute Annual ...

CFA Institute: Fifth Annual European Investment Conference

Wed, 16 May 2012 15:34:56

As the flagship event in Europe for CFA Institute, the annual European Investment Conference brings together noted researchers, speakers, writers, investment professionals, academics, and experts to examine these unique regional issues and bring you up ...

Dark Pools and Market Transparency (Take 15 Series)

Mon, 30 Apr 2012 10:03:08

Fr?d?ric Romand discusses the role of dark pools and their relative merits and drawbacks in the context of equity market investing. The importance of transparency and information quality is also addressed, along with efforts to achieve more consistent ...

Exchange-Traded Funds: Investor Challenges and Opportunities

Fri, 04 May 2012 10:35:18

Anthony Chan discusses China research insights from an exchange-traded fund (ETF) perspective, finding liquidity in the search for yield, and using ETFs to beat the benchmark.

Rethinking the Equity Risk Premium

Fri, 04 May 2012 10:38:34

Many investors regard the past decade as an unusual one for market returns. One of the key features of this turbulent period is the renewed uncertainty about what may be the most important measure in all of finance ? namely, the equity risk premium, or ...

Free Markets in Russia (Take 15 Series)

Tue, 22 May 2012 15:58:00

John T. Connor discusses how Russia?s markets are more open and free than commonly thought. He also discusses the growth of the investable universe of companies over the past 15 years. Furthermore, he explains how margin calls on leveraged stock ...