Q&A: Are Stock Returns Normally Distributed?
What is the best way to describe the distribution of stock returnsâa normal distribution, lognormal, or something else? What should investors do with this information? (Read the full entry)
View ArticleQ&A: Small Stocks for the Long Run
In addressing a previous question ("Has the Equity Premium Puzzle Gone Away?"), you suggested that it requires 35 years or more to be reasonably confident of achieving a positive equity premium. Is the...
View ArticleQ&A: Do Low-Volatility Strategies Produce High Returns?
Baker, Bradley and Wurgler (FAJÂ 2011) find that low-volatility stocks in the US outperform high-volatility stocks and attribute this apparent anomaly to investor behavioral biases as well as limits to...
View ArticleQ&A: Seeking the Inefficient Asset Class
We often hear the claim that some markets are less efficient than othersâsmall company stocks, emerging markets, foreign exchange, and so on. Is there any evidence to support this assertion? (Read...
View ArticleQ&A: Why Use Book Value to Sort Stocks?
Data from Ken French's website shows that sorting stocks on E/P or CF/P data produces a bigger spread than BtM over the last 55 years. Wouldn't it make sense to use these other factors in addition to...
View ArticleQ&A: Cap Weighting or GDP Weighting?
What is the merit, if any, in using a country weighting scheme based on Gross Domestic Product (GDP) rather than market capitalization? (Read the full entry)
View ArticleQ&A: Expected Returns and Socially Responsible Investing
Are expected returns for "socially responsible" strategies lower compared to a conventional approach? (Read the full entry)
View ArticleQ&A: Front Running and Fair Pricing
What is the relation, if any, between the practice of "front running" trades and the efficient market hypothesis? (Read the full entry)
View ArticleQ&A: Liquidity and Stock Returns
Is there a liquidity risk factor in stock returns that helps explain differences in average returns? (Read the full entry)
View ArticleQ&A: Should Investors Diversify Among Government Bonds?
If US Treasury bonds are not risk-free due to inflation risk, does it make sense to diversify a portfolio of government bonds with obligations of other countries? (Read the full entry)
View ArticleQ&A: Beta and Stock Returns
Do high-beta stocks have high expected returns? Do stocks with historically above-average betas exhibit above-average realized returns? (Read the full entry)
View ArticleQ&A: Bond Funds or Ladders?
Can you address the pros and cons of short-term bond funds versus laddered bond strategies holding individual issues? (Read the full entry)
View ArticleQ&A: Seeking the Optimal Country Weighting Scheme
Financial theory suggests that a global value-weight market portfolio is the logical default position for an equity investor seeking the optimal allocation scheme across countries. What are the...
View ArticleQ&A: What Role for Commodities?
There seems to be some confusion about your opinion on the role of commodities in a portfolio, based on a conference presentation for financial advisors in 2004. Have your views changed since then?...
View ArticleQ&A: When Does Active Management Shine?
If you are familiar with a recent survey of mutual fund performance by Fundquest (Jane Li, "When Active Management Shines vs. Passive," June 2010), your comments would be appreciated. (Read the full...
View ArticleQ&A: Market Timing with Moving Averages
Some researchers argue that a market timing strategy based on buy/sell signals generated by a 50- or 200-day moving average offers a more appealing combination of risk and return than a buy-and-hold...
View ArticleQ&A: A "Stock Picker's Market"?
Many experts characterize the current environment as a "stock picker's market." Is there any evidence that stock selection is more successful under certain market conditions? (Read the full entry)
View ArticleQ&A: Commodity Exposure through Stocks?
How can investors achieve exposure to commodities by investing in stocks? (Read the full entry)
View ArticleQ&A: High Frequency Trading and the "Flash Crash"
The "Flash Crash" on May 6, 2010, is generally attributed to the growth of automated or "high frequency" trading programs. How have they affected market volatility and security valuation and what, if...
View ArticleQ&A: Dividends: Is Bigger Better?
Does an equity strategy focusing on stocks with above-average dividend yield offer an appealing risk/reward tradeoff? Have dividend-paying stocks outperformed non-dividend payers in the U.S.? (Read the...
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