Below is a weekly summary of our research findings for 1/6/20 through 1/10/20. 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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- CPI-to-PPI Ratio and the Stock Market
Evidence offers little support for belief that CPI/PPI is useful for predicting U.S. stock market returns, with extremes in the ratio perhaps unfavorable for stocks. - Cyclical Consumption as Stock Market Return Predictor
Evidence indicates that increases (decreases) in cyclical consumption as specified predict a decrease (increase) in expected stock market returns. - Tools for Defeating Data Snooping
Multiple hypothesis testing is endemic in economic finance, and the research community does a poor job of controlling for it. The best approach for such control is sample specific. - Optimizing the Combination of Economic Growth and Price Trends
Evidence suggests that investors may be able to improve risk-adjusted performance of a Growth-Trend timing strategy via use of multi-class portfolios as risky and safe assets. - Non-linear Model of Asset Returns
Evidence indicates that tree-based methods accommodating multivariate interactions and non-linearities in relationships offer considerable improvement over linear factor models for pricing different asset.
