Recent Investing Research

Are sentiments conveyed in Seeking Alpha articles useful for stock picking? In their January 2023 paper entitled “Seeking Alpha: More Sophisticated Than Meets the Eye”, Duo Selina Pei, Abhinav Anand and Xing Huan apply two-pass natural language processing to test the informativeness of articles from Seeking Alpha incremental to publicly available earnings data. Specifically, they… Keep Reading

What are the implications of mainstream economics for bitcoin? In his March 2024 paper entitled “Bitcoin: What Does Mainstream Economics Have to Say?”, Joshua Hendrickson tackles the following questions: Why does money exist and what role does it play in society? How does bitcoin fit our understanding of this role? What is bitcoin worth? Is… Keep Reading

How has the simple Sell in May strategy worked in the modern U.S. equity market, defined as the time since introduction of SPDR S&P 500 ETF Trust (SPY)? To investigate, we: Calculate 6-month SPY returns from the ends of April and October. Find yields for 6-month U.S. Treasury bills (T-bills) at the end of each… Keep Reading

Do popular style-based exchange-traded funds (ETF) offer a reliable way to exploit the value premium? To investigate, we compare differences in returns (value-minus-growth, or V – G) for each of the following three matched pairs of value-growth ETFs: iShares Russell 2000 (Smallcap) Growth Index (IWO) iShares Russell 2000 (Smallcap) Value Index (IWN) iShares Russell Midcap… Keep Reading

In response to “Measuring the Size Effect with Capitalization-based ETFs” and in view of the research summarized in “Quality-enhanced Size Effect”, a subscriber suggested using either iShares Core S&P Small-Cap ETF (IJR) or Vanguard S&P Small-Cap 600 Index Fund (VIOO) in place of iShares Russell 2000 ETF (IWM) as a proxy for small stocks. The… Keep Reading

Below is a weekly summary of our research findings for 4/8/24 through 4/12/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

How do returns of different asset classes recently interact with the Effective Federal Funds Rate (EFFR)? We focus on monthly changes (simple differences) in EFFR  and look at lead-lag relationships between change in EFFR and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies: Equities: SPDR S&P 500 (SPY) iShares Russell… Keep Reading

Does pricing of options on leveraged exchange-traded funds (ETF) predict future returns of the underlying 1X ETFs? In the March 2024 version of their paper entitled “Lever Up! An Analysis of Options Trading in Leveraged ETFs”, Collin Gilstrap, Alex Petkevich, Pavel Teterin and Kainan Wang examine options trading in leveraged equity ETFs and its implications… Keep Reading

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for March 2024. The actual total (core) inflation rate is about the same as (a little higher than) forecasted.

Is momentum better measured by a granular fitted line or beginning-to-end return? In their March 2024 paper entitled “Trended Momentum”, Charlie Cai, Peng Li and Kevin Keasey investigate use of an analytically/visually clear linear stock price trend to enhance conventional momentum. They measure price trend clarity (TC) as R-squared for a regression of daily price… Keep Reading