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Stocks for the long run : the definitive guide to financial market returns & long-term investment strategies
Now in its fifth edition, \"Stocks for the Long Run\" includes Siegel's highly anticipated analysis of the sub-prime crash, the financial crisis, and resulting world-wide recession. This new edition also includes a deeper focus on international investing and emerging markets.
Book
Disagreement and the Stock Market
A large catalog of variables with no apparent connection to risk has been shown to forecast stock returns, both in the time series and the cross-section. For instance, we see medium-term momentum and post-earnings drift in returns—the tendency for stocks that have had unusually high past returns or good earnings news to continue to deliver relatively strong returns over the subsequent six to twelve months (and vice-versa for stocks with low past returns or bad earnings news); we also see longer-run fundamental reversion—the tendency for “glamour” stocks with high ratios of market value to earnings, cashflows, or book value to deliver weak returns over the subsequent several years (and vice-versa for “value” stocks with low ratios of market value to fundamentals). To explain these patterns of predictability in stock returns, we advocate a particular class of heterogeneous-agent models that we call “disagreement models.” Disagreement models may incorporate work on gradual information flow, limited attention, and heterogeneous priors, but all highlight the importance of differences in the beliefs of investors. Disagreement models hold the promise of delivering a comprehensive joint account of stock prices and trading volume—and some of the most interesting empirical patterns in the stock market are linked to volume.
Journal Article
The 100 best stocks to buy in 2020
Recommendations for one hundred stocks which have a history of beating the stock market average and have positive investment potential based on a variety of investment criteria.
Book
Salience and Asset Prices
We present a simple model of asset pricing in which payoff salience drives investors' demand for risky assets. The key implication is that extreme payoffs receive disproportionate weight in the market valuation of assets. The model accounts for several puzzles in finance in an intuitive way, including preference for assets with a chance of very high payoffs, an aggregate equity premium, and countercyclical variation in stock market returns.
Journal Article
The investor's guidebook to equities : equity pricing, trading, and investing
A concise, yet comprehensive, guidebook to understanding equity investments.
Book
The First Crash
For nearly three centuries the spectacular rise and fall of the South Sea Company has gripped the public imagination as the most graphic warning to investors of the dangers of unbridled speculation. Yet history repeats itself and the same elemental forces that drove up the price of South Sea shares to dizzying heights in 1720 have in recent years produced the global crash of 1987, the Japanese stock market bubble of the 1980s/90s, and the international dot.com boom of the 1990s. The First Crash throws light on the current debate about investor rationality by re-examining the story of the South Sea Bubble from the standpoint of investors and commentators during and preceding the fateful Bubble year. In absorbing prose, Richard Dale describes the trading techniques of London's Exchange Alley (which included 'modern' transactions such as derivatives) and uses new data, as well as the hitherto neglected writings of a brilliant contemporary financial analyst, to show how investors lost their bearings during the Bubble period in much the same way as during the dot.com boom. The events of 1720, as presented here, offer insights into the nature of financial markets that, being independent of place and time, deserve to be considered by today's investors everywhere. This book is therefore aimed at all those with an interest in the behavior of stock markets.
eBook
ESG Scores - Is it the new way to build a European portfolio?
The study makes a comparison between the performance of equity portfolios characterized by high ESG score stocks and portfolios with low ESG score stocks. In particular, we analyze three ESG scores: MSCI ESG Rating, Sustainalytics scores and S&P DJI/Robeco ESG Scores, by examining the European stock market in two periods: medium/long term (five years) and short-term (one year). First of all, we associate each component of the index in relation to its MSCI ESG Rating, Sustainalytics score and S&P DJI/Robeco ESG Scores. We build two portfolios: · First quartile portfolio 1Q (according to MSCI; Sustainalytics; and S&P DJI/Robeco ESG Scores), including securities of companies with the highest ESG score, based on ESG best-in-class screening strategy. · Fourth quartile portfolio 4Q (according to MSCI; Sustainalytics; and S&P DJI/Robeco ESG Scores), including securities of companies with the lowest ESG scores. We aim to answer the following questions: a) do portfolios with higher ESG scores stocks lead to better performances than those including stocks with low ESG scores? b), Are there some sectors that drive the performance within the sector breakdown? Results show a divergence between the composition of the first quartile, whereas there is more homogeneity in the fourth quartile.
Journal Article