Below is a weekly summary of our research findings for 3/16/20 through 3/20/20. 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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- Evolving Equity Index Earnings-returns Relationship
Evidence suggests that decreasing volatility of economic variables is the principal reason for a change in sign from negative to positive of the relationship between aggregate U.S. firm earnings growth and stock market returns in 1991. - Concentration of Wealth Creation for U.S. Stocks
Evidence from the past 94 years suggests that a shrinking percentage of stocks are driving U.S. equity wealth creation. - Measuring the Size Effect with Capitalization-based ETFs
Evidence from simple tests of capitalization-based ETFs with nearly 20 years of data offers little support for belief in a long-term, reliably exploitable size effect among U.S. stocks. - Measuring the Value Premium with Value and Growth ETFs
Evidence from simple tests with 18.5 years of available data does not support belief that investors can reliably capture a value premium via popular value-growth ETFs. - Are Strong or Weak Daily Closes Predictive?
Evidence from simple tests indicates that very weak daily stock market closes relative to daily ranges are bullish for near-term returns, especially when volatility is high.
