[  This is a personal non-profit online research library and is solely used by Scott Bryan Hill.  Some of the links on this page lead to outside resources and the presence of these links should not be taken as an endorsement.  ]

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A | B | C | D | E | F | G | H | I | J | K | L | M | N | O | P | Q | R | S | T | U | V | W | X | Y | Z

( Symbol Guide )

 [ A ]

A Theory of Large Fluctuations in Stock Market Activity, Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou, H. Eugene Stanley MIT, Economics Department and NBER, Boston University, Physics Department, Center for Polymer Studies, August 16, 2003.  “We propose a theory of large movements in stock market activity. Our theory is motivated by growing empirical evidence on the power-law tailed nature of distributions that characterize large movements of distinct variables describing stock market activity such as returns, volumes, number of trades, and order flow.  We show that optimal trading by such large institutions generate power-law tailed distributions for market variables with exponents that agree with those found in empirical data. Furthermore, our model also makes a large number of testable out-of-sample predictions.”  (Money Management | Power Law)  47 Pages

Arguing Against Equities, Mary Williams Walsh, The New York Times, March 18, 2003.  "The stock bubble has burst, and then some. But even amid the wreckage, the conventional mantra has continued: stocks are still the long-haul key to preparing for financial security in retirement.  But what, actually, if they're not?"  (Money Management | Diversifcation of Fixed Income) 4 Pages

As Two Economists Debate Markets, The Tide Shifts, Jon E. Hilsenrath, The Wall Street Journal, October 18, 2004.  “For forty years, economist Eugene Fama argued that financial markets were highly efficient in reflecting the underlying value of stocks. His long-time intellectual nemesis, Richard Thaler, a member of the "behaviorist" school of economic thought, contended that markets can veer off course when individuals make stupid decisions.  In May, 116 eminent economists and business executives gathered at the University of Chicago Graduate School of Business for a conference in Mr. Fama's honor. There, Mr. Fama surprised some in the audience. A paper he presented, co-authored with a colleague, made the case that poorly informed investors could theoretically lead the market astray. Stock prices, the paper said, could become "somewhat irrational." (Money Management | Market History | Efficient Market Theory versus Behaviorist School of Economics)

Assessing the Costs and Benefits of Brokers in the Mutual Fund Industry, Daniel Bergstresser (Harvard Business School), John M.R. Chalmers (University of Oregon), Peter Tufano Harvard Business School; National Bureau of Economic Research (NBER)), January 16, 2006.  “Many investors purchase mutual funds through intermediated channels, engaging and paying brokers or financial advisors for fund selection and advice. This paper attempts to quantify the benefits that investors enjoy in exchange for the higher costs they pay in order to purchase funds through the broker channel. We focus on five measurable potential benefits to consumers of brokered fund distribution: (a) Assistance selecting funds that are harder to find or harder to evaluate; (b) Access to funds with lower costs excluding distribution costs; (c) Access to funds with better performance; (d) Superior asset allocation, and (e) Attenuation of behavioral investor biases. Exploring these dimensions, we do not find that brokers deliver substantial tangible benefits. In short, while brokerage customers are directed toward funds that are harder to find and evaluate, brokerage customers pay substantially higher fees and buy funds that have lower risk-adjusted returns than directly-placed funds. Further, brokered funds exhibit no better skill at aggregate-level asset allocation than funds sold through the direct channel. This analysis implies that any benefits that exist must be found along less tangible dimensions.” (Financial Firms and Money Management (Active versus Passive))  Seminar Information

Asset Allocation Versus Security Selection, Sebastien Page and Mark Kritzman, State Street Associates August 2002.  (Money Management (Asset Allocation)  Seminar Information

 [ B ]

Beyond the Bubble, With Small-Cap Stocks, Mark Hulbert, The New York Times, March 18, 2007.  “Small-Cap stocks are significantly overvalued. In fact, they are even pricier, on average, than they were in March 2000, just before the Internet bubble burst. In contrast, the average large-cap stock is moderately undervalued.  This picture of a highly bifurcated stock market is painted by data from Ford Equity Research of San Diego, which tracks around 4,500 publicly traded companies in the United States. Among companies that have been publicly traded for at least seven years, the firm reports that 55 percent have higher price-to-earnings ratios today than they did in March 2000. The bulk of these pricier issues, however, are in the smaller-cap sectors. Among the very largest companies, the average P/E ratio is now just a third of what it was seven years ago.”  (Money Management (Large Companies versus Small Companies))

 [ C ]

 [ D ]

Dalbar Information

Do Funds Window Dress?  Evidence for U.S. Domestic Equity Mutual Funds, Iwan Meier and Ernst Schaumburg, Kellogg School of Management, Northwestern University, January 28, 2004.  “Window dressing” is the practice by fund managers of adjusting a fund’s portfolio composition immediately before disclosing the holdings to the public at the end of the quarter. The common wisdom on the street and in the financial press is that window dressing activity has become widespread as investors have become increasingly sophisticated in analyzing fund holdings as well as past returns in an e.ort to detect skill.”   (Money Management (Window Dressing))

Does Asset Allocation Policy Explain 40%, 90% or 100% of Performance, Roger G. Ibbotson and Paul D. Kaplan, Financial Analysts Journal, January/February 2000.  “The answer to the question in the title depends on how you ask the question and what you are trying to explain.”  (Money Management (Asset Allocation)  Seminar Information

 [ E ]

Explaining Stock Returns: A Literature Survey, James L. Davis, Dimensional Fund Advisor Inc., December 2001.  "My objective in writing this survey is to provide an overview of the work that has been done in an important area of financial markets research - explaining the behavior of common stock returns.  (Money Management)

 [ F ]

Fork It Over, Justin Lahart, The Wall Street Journal, July 23, 2004.  “Higher dividends mean slower growth? Says who?  OK, so a lot of people have been saying that ever since Microsoft announced Tuesday that it would boost its regular dividend and dole out a $30 billion one-time payout.”  (Money Management (Holding Cash or Paying Dividends)

 [ G ]

Great Ten Year Record  = Great Future Returns, Right?, Tweedy, Browne Company LLC. Investment Advisers, 2000.  "How well did companies with great 10-year records as of December 31, 1990 perform in the next 7 years?  A study of the predictability of long-term earnings and intrinsic value growth." (Money Management (27 Pages))

 [ H ]

How to Learn From Closed-End Funds, Without Buying, Mark Hulbert, The New York Times, July 29, 2003.  “Buying a closed-end fund at its initial offering is rarely a good idea because of the hefty sales commissions that underwriters earn on the deal, according to Owen Lamont, an associate professor of finance at the University of Chicago.  But Professor Lamont says investors can still learn a lot about the stock market by analyzing the types of new closed-end funds that are being sold to the public."  (Closed-End Funds (Bonds: 2003) / Financial Firms - Hidden Costs and Fees)

 [ I ]

Identifying Bear Market Bottoms and New Bull Markets, Paul F. Desmond, Charles H. Dow Winner, May 2002.  "Ask one hundred investors whether this is a new bull market or a bear market, and you are likely to find their opinions split evenly down the middle."  (Money Management)

If Profits Grow, How Can the Market Sink?, Mark Hulbert, The New York Times, February 6, 2005.  “faster corporate earnings grow, the better the stock market performs. That is a tenet of Wall Street, but like so much other conventional wisdom, it turns out to be false.  In fact, since 1927, according to data from Ned Davis Research of Atlanta, the market has performed best during quarters when earnings are as much as 25 percent below year-earlier levels. When earnings are growing strongly, as many expect them to do this year, the market has tended to have below-average performance.  Of course, these findings for the overall market run counter to the experience of specific companies. For many of them, the relationship of earnings growth and stock price is often positive - especially when a company exceeds profit expectations.” (Money Management)  Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance

It’s 11 P.M., Do You Know Where Your Client’s Assets Are?, Barclays Global Investments, October 2001.  “Defined-contribution (DC) plan assets are managed in ways that would cause fits if practiced in traditional institutional investment settings such as defined-benefit pension funds, foundations and endowments. On average, DC-plan managers incur higher costs and embrace a level of risk that would simply be viewed as unacceptable by institutions managing their own money.  This represents a problem, since, with their growing popularity, DC plans are on their way to becoming the foundation of the retirement security system in the United States."  (Money Management |  Retirement Planning)

 [ J ]

 [ K ]

 [ L ]

Legacy of Modern Portfolio Theory, Frank J. Fabozzi, Francis Gupta, and Harry M. Markowitz, Institutional Investors, Inc, Fall 2002.  “In 1952 The Journal of Finance published an article titled “Portfolio Selection” authored by Harry Markowitz.  The ideas introduced in this article have come to form the foundations of what is now popularly referred to as Modern Portfolio Theory (MPT).”  (Money Management)

 [ M ]

Market Crash of '87 - Rare but Hardly Unique, Mark Hulbert, The New York Times, October 19, 2003.  “Sixteen years ago today, the Dow Jones industrial average fell 22.6 percent, its worst one-day percentage decline since its creation in 1896.  Many investors are now inclined to dismiss the drop as an aberration. But new research has found that one-day price swings as big as the one in 1987 are not extraordinary. While they are rare, their average frequency over long periods is predictable."  (Market History) A Theory of Large Fluctuations in Stock Market Activity

 [ N ]

 [ O ]

 [ P ]

Portfolio Selection, Harry Markowitz (The Rand Corporation), The Journal of Finance, March 1952.  “The process of selecting a portfolio may be divided into two stages.  The first stage starts with observation and experience and ends with beliefs about the future performances of available securities.” (Money Management)  Classic Article

Power of Earnings Power, Hewitt Heiserman, Jr., Barron’s, September 12, 2005.  “Earnings drive stock prices but not all earnings are created equal. Consider UnitedHealth Group and Enron. Both companies made money in 2000, according to generally accepted accounting principles (GAAP). Indeed, each posted record profits that year. But one enjoyed authentic earnings power and was set to deliver huge market-beating returns in the years ahead, while the other had weak earnings and was headed for bankruptcy.  How can you distinguish 24-karat gold from iron pyrite on Wall Street." (Money Management (Balance Sheet Management))

 [ Q ]

 [ R ]

Role of Asset Allocation in Portfolio Management, Scott L. Lummer and Mark W. Riepe, Ibbotson Associates, 1994.  “"Tis the part of a wise man to keep himself today for tomorrow, and not venture all his eggs in one basket." - Miguel de Cervantes, Don Quixote de la Mancha, 1605.  "Behold, the fool saith, 'Put not all thine eggs in the one basket' - which is but a manner of saying, 'Scatter your money and attention;' but the wise man saith 'Put all your eggs in the one basket and - WATCH that basket.'" - Mark Twain, Pudd'nhead Wilson, 1894.”   (Money Management | Ibbotson)

 [ S ]

Security Analysis (Introduction), Benjamin Graham and David L. Dodd, Whittlesey House, 1934.  "The significance of recent financial history to the investor and the speculator." (Money Management)  Classic Article

Sign of the Bear, Peter G. Eliades, Charles H. Dow Winner, May 2001.  "There are some effective indicators  for identifying bear market bottoms, but because market tops tend to be more diffuse, often occurring at different times for different indexes, the search for an effective tool to identify major market tops has been, for the most part, a futile one."  (Money Management)

Stock Market Forecasting, Alfred Cowles, Cowles Foundation, 1994.  “The analysis reported here is a continuation of a study begun at the end of 1927 and originally published in 1933.”  (Money Management)

Stock Market Returns on the Long Run: Participating in the Real Economy - Part II, Roger G Ibbotson and Peng Chen, Ibbotson Associates, July 9, 2002.  “We estimate the forward-looking long-term equity risk premium using a combination of the historical and the supply side approaches. We decompose the 1926-2000 historical equity returns into supply factors including inflation, earnings, dividends, price to earnings ratio, dividend payout ratio, book value, return on equity, and GDP per capita. We examine each of the factors and their relationship with the long-term supply side framework. There are several key findings:” (Money Management | Ibbotson)

Stocks Versus Bonds, Clifford S. Asness, The Association for Investment Management and Research. President AQR Capital Management L.L.C., 2000.  "From the 19th century through the mid 20th century, the dividend yield (dividends/price) and earnings yield (earnings/price) on stocks generally exceeded the yield on long-term U.S. government bonds, usually by a substantial margin."  (Money Management)

 [ T ]

Ten Ways To Beat An Index, Tweedy, Browne Company LLC. Investment Advisers, 2000.  "The golden rule for clients: Look at the long run odds and stick with it.  Is underperforming the Index 30% or 40% of the time a normal part of long-term success?"  (Money Management (Active versus. Passive Debate))

Twelve Step Program to Index Funds, Mark T. Hebner, Index Fund Advisor, 245 Page Research Report, 2002.  (Money Management (Active versus. Passive Debate))

 [ U ]

 [ V ]

Value Versus Growth: The International Evidence, Eugene F. Fama III, University of Chicago - Graduate School of Business and Kenneth R. French, Tuck School of Business at Dartmouth; National Bureau of Economic Research (NBER)  “Value stocks have higher returns than growth stocks in markets around the world. For 1975-95, the difference between the average returns on global portfolios of high and low book-to-market stocks is 7.60% per year, and value stocks outperform growth stocks in 12 of 13 major markets. An international CAPM cannot explain the value premium, but a two-factor model that includes a risk factor for relative distress captures the value premium in international returns.” (Money Management (Value vs. Growth Debate))

 [ W ]

What Has Worked in Investment: Studies of Investment Approaches and Characteristics Associated with Exceptional Returns, Tweedy, Browne Company LLC. Investment Advisers, 2000.  "Dear Investor, What has worked in Investing is an attempt to share with you our knowledge of historically successful investment characteristics and approaches.  Included in this booklet are descriptions of 44 studies..."  (Money Management)

 [ X ]

 [ Y ]

 [ Z ]

Symbol Guide

Academic Study,  Bearish Case, Bullish Case, "Debate," Federal Reserve

Investment Mine, Magazine Article Newspaper Article, Online Site, Research Report

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