Below is a weekly summary of our research findings for 2/18/20 through 2/21/20. 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.
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- Exploiting Liquidity Needs of Futures-based ETFs
Evidence indicates that investors may be able to harvest a leverage rebalancing-induced premium from futures-based ETFs by repeatedly shorting matched long and short pairs of these ETFs intraday. - Combining SMA10 and P/E10 Signals
Evidence from simple tests on long-run data does not support belief that a signal based on level of P/E10 adds value to SMA10 for timing the U.S stock market. - Underreaction to Changes in Firm Fundamentals
Evidence indicates that investors can exploit underreaction by others to deviations from recent levels of firm accounting variables. - Verification Tests of the Smart Money Indicator
Verification tests indicate that U.S. stock market timing based on the Smart Money Indicator with 1-week execution lag may be very attractive, subject to concern about signal execution lag snooping bias.
