Investing Research Articles

...while mid-single digits may be a reasonable rough estimate for the equity risk premium, there is not a generally accepted value for it or method of estimating it.

The submission deadlines for the 2016 Wagner Award, presented by the National Association for Active Investment Management (NAAIM) are December 15, 2015 for an Intent to Submit and February 29, 2016 for a final paper. Per the “Call...

Does “meaningful” short-term stock return momentum predict exploitable short-term price trends? In their October 2015 paper entitled “News Momentum”, Hao Jiang, Sophia Li  and Hao Wang combine time-stamped firm news with high-frequency (15-minute) stock returns to identify stocks exhibiting news-driven momentum. Their news feed...

What combination of factors best predicts stock market returns at a monthly frequency? In the October 2015 draft of their paper entitled “Comparing Asset Pricing Models”, Francisco Barillas and Jay Shanken apply a Bayesian procedure to compare all possible...

Do individual investors exhibit good or bad timing in stock transactions of recent years? In the August 2015 version of their paper entitled “Fool’s Mate: What Does CHESS [Clearing House Electronic Subregister System] Tell Us About...

Do stocks worldwide generate most of their total return while the market is open or closed? In their October 2015 paper entitled “Making Money While You Sleep? Anomalies in International Day and Night Returns”, Kevin Aretz...

Do both asset-level and portfolio-level risk management techniques enhance portfolio performance? In the October 2015 version of his paper entitled “Optimal Dynamic Portfolio Risk Management”, Valeriy Zakamulin investigates risk management across assets (relative weighting of risky assets) and risk...

What are pros and cons of extending the definition of financial index beyond conventional market capitalization (buy-and-hold) weighting? In the October 2015 draft of his paper entitled “What Is an Index?”, Andrew Lo proposes that any portfolio satisfying three properties...

Is gold a consistent hedge against inflation? In their October 2015 preliminary paper entitled “Is Gold a Hedge Against Inflation? A Wavelet Time-Frequency Perspective”, Thomas Conlon, Brian Lucey and Gazi Salah Uddin examine the inflation-hedging properties of gold over...

Does timing the U.S. stock market with moving averages work? In his October 2015 paper entitled “A Comprehensive Look at the Real-Life Performance of Moving Average Trading Strategies”, Valeriy Zakamulin employs a very long dataset to estimate...

Are frontier government bonds useful as incremental diversifiers of diversified portfolios? In their September 2015 paper entitled “Frontier and Emerging Government Bond Markets”, Vanja Piljak and Laurens Swinkels examine the diversification value of U.S. dollar-denominated frontier government bonds...

Does the third moment (skewness) of commodity futures return distributions predict subsequent returns? In the October 2015 version of their paper entitled “Commodities as Lotteries: Skewness and the Returns of Commodity Futures”, Adrian Fernandez-Perez, Bart Frijns, Ana-Maria Fuertes...

Do small capitalization stocks exploitably lag broad market trends? In their October 2015 paper entitled “Slow Trading and Stock Return Predictability”, Matthijs Lof and Matti Suominen investigate whether overall stock market trends predict variation in the size...

Are trend following (intrinsic or time series momentum) and risk parity complementary multi-class portfolio construction approaches? In his October 2015 paper entitled “Trend-Following, Risk-Parity and the Influence of Correlations”, Nick Baltas compares performances of inverse...

Is there a simple way to improve the performance of conventional asset class target allocations by rotating to strength within classes based on Relative Strength Index (RSI)? In his September 2015 paper entitled “Momentum Investing and Asset...

Does the rate of change of return momentum (return acceleration) usefully predict stock returns? In their August 2015 paper entitled “The Acceleration Effect and Gamma Factor in Asset Pricing”, Diego Ardila-Alvarez, Zalan Forro and Didier Sornette compare the effectiveness...

Is there a way to suppress the volatility and drawdowns of a mixed value and momentum stock strategy while retaining most of its benefit? In his September 2015 paper entitled “Learning to Play Offense and Defense: Combining Value...

How well do equity index option strategies work during crises? In his October 2015 paper entitled “The Performance of Equity Index Option Strategy Returns during the Financial Crisis”, Dominik Schulte tests the profitability of long and short equity...

Is fundamental valuation of stocks an inherently effective investment approach? In their October 2015 paper entitled “Fundamental Analysis Works”, Sohnke Bartram and Mark Grinblatt test whether fundamental valuation usefully predict stock performance. Each month, they estimate the...

Do stock limit order books tip the direction of stock price? In their October 2015 paper entitled “Enhancing Trading Strategies with Order Book Signals”, Alvaro Cartea, Ryan Donnelly and Sebastian Jaimungal test the use of buying...

Is the Fama-French five-factor (market, size, book-to-market, profitability, investment) model of stock returns optimal? In the September 2015 draft of their paper entitled “Choosing Factors”, Eugene Fama and Kenneth French investigate potential improvements to the overall predictive...

Is there a way to predict when beta anomaly arbitrage (long low-beta stocks and short high-beta stocks will work? In the August 2015 version of their paper entitled “The Booms and Busts of Beta Arbitrage”, Shiyang...

Are higher even moments of asset return distributions useful predictors of future returns? In the September 2015 version of her paper entitled “A Low-Risk Strategy based on Higher Moments in Currency Markets”, Claudia Zunft explores an adaptive currency trading strategy...

When does it make sense to exercise equity options early? Does it happen frequently? In the September 2015 version of their paper entitled “Early Option Exercise: Never Say Never”, Mads Jensen and Lasse Pedersen investigate the...

“Mark Hulbert’s NASDAQ Newsletter Sentiment Index” reviews the usefulness of the Hulbert Stock Newsletter Sentiment Index (HSNSI), which “reflects the average recommended stock market exposure among a subset of short-term market timers tracked by the Hulbert Financial Digest.”...