CXO Advisory Blog - Investing Notes

July 3, 2009 - An Overview of Confirmation Bias

Fri, 03 Jul 2009

Evidence from many studies indicates that confirmation bias is substantial, with defensiveness outweighing desire for accuracy in driving a preference for confirming over disconfirming information....

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July 2, 2009 - Regulatory Activity and Stock Returns

Thu, 02 Jul 2009

Very limited evidence suggests that regulatory activity reacts to stock market returns with a lag of one to three years and has little or no effect on future stock market returns.

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July 1, 2009 - Update: End-of-Quarter Effect

Wed, 01 Jul 2009

Evidence suggests some systematic strength the first few days after ends of quarters bracketed by weakness or doldrums before and after, with effects small compared to daily return variability. The...

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June 30, 2009 - Update: Measuring the Size Effect with Capitalization-based ETFs

Tue, 30 Jun 2009

A simple test of capitalization-based ETFs with available data (about nine years) indicates a potentially interesting but disappearing (disappeared?) size effect.

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June 29, 2009 - Update: Measuring the Value Premium with Style-based ETFs

Mon, 29 Jun 2009

A simple test with available data (about eight years) does not support a belief that investors can reliably capture a substantial value premium via style-based ETFs.

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June 26, 2009 - Update: Biotech Seasonality?

Fri, 26 Jun 2009

Very limited evidence suggests that biotech stocks tend to be weak in late winter, strong in late summer and December, and weak during most of the fall. The late summer strength is most distinctive.

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June 25, 2009 - An Annual Worldwide Optimism Cycle (Sell in May)?

Thu, 25 Jun 2009

Evidence from multiple tests supports belief in an annual optimism cycle as a principal cause of the worldwide outperformance of stocks during November-April compared to May-October.

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June 24, 2009 - Update: Trading Around Option Expiration Days

Wed, 24 Jun 2009

Evidence from simple tests offers some support for belief in a modest positive bias for the broad stock market a few days before and a negative bias just after equity option expiration dates.

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June 23, 2009 - Update: Any Recent Day-of-the-Week Anomalies?

Tue, 23 Jun 2009

Evidence from simple tests on recent data offers little support for belief in day-of-the-week anomalies in broad stock market returns.

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June 22, 2009 - Update: Stock Market Behavior Around the Mid-year Point

Mon, 22 Jun 2009

Best guess for the U.S. stock market is a negative bias a few days before the mid-year point and a modestly positive bias around the turn of the month/quarter through the 4th of July holiday.

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June 18, 2009 - Do Investors Prefer an Idle Congress?

Thu, 18 Jun 2009

In contrast with cited research, limited tests do not support a belief that the stock market reliably generates higher and less volatile returns when the U.S. Senate is not in session.

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June 17, 2009 - Inflation Forecast Update

Wed, 17 Jun 2009

We have updated the Inflation Forecast to incorporate actual data for May 2009. The actual total and core inflation rates for May 2009 are slightly lower than forecasted values, but the differences...

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June 16, 2009 - Revisiting Party in Power and Stock Returns

Tue, 16 Jun 2009

Limited evidence suggests that Republican control of the Senate is most favorable for stocks, and that the current Democratic control of the Presidency and Congress relates to average stock market...

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June 12, 2009 - A Better Three-Factor Model?

Thu, 12 Jun 2009

Investors who pick stocks may want to focus on two firm characteristics: (1) investment-to-assets ratio; and, (2) return on assets. Evidence indicates that these two characteristics are foundational...

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June 11, 2009 - Is There a Best SMA Calculation Interval for Long-term Crossing Signals?

Thu, 11 Jun 2009

Evidence from simple tests does not support a belief that there is a best SMA calculation interval for generating crossing signals to exploit long-term stock market trends.

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June 10, 2009 - The Most Intriguing Gurus?

Wed, 10 Jun 2009

Investors may want to investigate the commentaries of unfamiliar experts who accrue significant user-initiated interest as evidenced by search frequency.

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June 8, 2009 - Update: Stock Market Valuation Ratio Trends

Mon, 08 Jun 2009

Commonly used S&P 500 valuation ratios based on operating earnings, as-reported earnings and dividends currently present conflicting messages, difficult to relate to stock market behavior.

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June 4, 2009 - Performance Trend for Value Line's Timeliness Ranking

Thu, 04 Jun 2009

Limited evidence indicates that any abnormal performance of the the Value Line Timeliness Ranking System may have disappeared.

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