Below is a weekly summary of our research findings for 10/22/18 through 10/26/18. 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.
- U.S. Stock Market End-of-Quarter Effect
Evidence suggests some systematic U.S. stock market strength the first few days (especially the first day) after ends of quarters bracketed by weakness, but effects are small compared to daily return variability and somewhat inconsistent for subperiods. - Are Currency Carry Trade ETFs Working?
Available evidence on attractiveness of currency carry trade ETF/ETNs is negative. - Assessment of Smart Beta Investing
Evidence suggests that investors are herding toward smart beta products, with growing probability of market reactions against this flow. - Public Debt, Inflation and the Stock Market
Evidence from simple tests on a modest sample suggest that U.S. government deficit spending may have a slight tendency to stimulate the U.S. stock market at a one-year horizon and some tendency to increase the inflation rate three to five years out. - Stock Liquidity Premium Update
Evidence continues to support propositions that: (1) illiquidity is priced with a mostly positive premium; and, (2) this premium varies over time.
