Investing Research Articles

How (and what) does John Bogle think about the stock and bond markets over the next decade? In their October 2015 article entitled “Occam’s Razor Redux: Establishing Reasonable Expectations for Financial Market Returns”, flagged by a subscriber, John Bogle and Michael Nolan revisit simple models for expected stock market and government bond returns first published in… Keep Reading

Do spot price trends drive commodity futures momentum strategies? In their August 2016 paper entitled “Momentum and Mean-Reversion in Commodity Spot and Futures Markets”, Denis Chaves and Vivek Viswanathan investigate the reasons for the success of cross-sectional (relative) momentum strategies and failure of cross-sectional mean reversion strategies in the commodity futures markets. They specify commodity valuation as the ratio… Keep Reading

Does cyclic information flow from the Federal Open Market Committee (FOMC) drive equity market returns? In the June 2016 update of their paper entitled “Stock Returns Over the FOMC Cycle”, flagged by a subscriber, Anna Cieslak, Adair Morse and Annette Vissing-Jorgensen investigate interaction of the FOMC six-week meeting cycle with excess U.S. and worldwide stock market (relative to… Keep Reading

Does technical analysis work for crude oil futures trading? In their August 2016 paper entitled “Performance of Technical Trading Rules: Evidence from the Crude Oil Market”, Ioannis Psaradellis, Jason Laws, Athanasios Pantelous and Georgios Sermpinis investigate the profitability of a wide range technical trading rules applied to West Texas Intermediate (WTI) light sweet crude oil futures and the United… Keep Reading

Does time series (intrinsic or absolute) momentum work across asset classes prior to the Great Moderation (secular decline in interest rates)? In their August 2016 paper entitled “Trend Following: Equity and Bond Crisis Alpha”, Carl Hamill, Sandy Rattray and Otto Van Hemert test several time series momentum portfolios as applied to groups of bonds, commodities, currencies and equity indexes as far… Keep Reading

Is global diversification within asset classes disappearing as worldwide economic and financial integration increases? In their August 2016 paper entitled “Globalization and Asset Returns”, Geert Bekaert, Campbell Harvey, Andrea Kiguel and Xiaozheng Wang examine whether economic and financial integration increases global comovement of country equity, bond and currency exchange market returns. They examine three measures of return comovement for each… Keep Reading

Should investors buy or sell stocks experiencing unique (idiosyncratic) volatility spikes? In their August 2016 paper entitled “Unusual News Flow and the Cross-Section of Stock Returns”, Turan Bali, Andriy Bodnaruk, Anna Scherbina and Yi Tang investigate relationships among sudden increases in stock idiosyncratic volatility, unusual firm news, changes in analyst earnings forecast dispersion, short selling and future returns. They… Keep Reading

Should mutual fund investors go with trendy new funds? In their August 2016 paper entitled “What’s Trending? The Performance and Motivations for Mutual Fund Startups”, Jason Greene and Jeffrey Stark examine the interactions of mutual fund trendiness with growth in assets under management, fees and performance. They quantify fund trendiness by each month: Relating each key word… Keep Reading

Are the widely used stock characteristic/factor sorting practices of ranked fifth (quintile) or ranked tenth (decile) portfolios optimal in terms of interpretative power? In their August 2016 paper entitled “Characteristic-Sorted Portfolios: Estimation and Inference”, Matias Cattaneo, Richard Crump, Max Farrell and Ernst Schaumburg formalize the portfolio sorting process. Specifically, they describe how to choose the number of quantile portfolios best… Keep Reading

Where should investors look for methodological edges in 21st century financial markets? In his brief August 2016 paper entitled “Mathematics and Economics: A Reality Check”, Marcos Lopez de Prado advises finance students (and practitioners) what mathematical/analytical expertise to acquire for successful 21st century investing and trading. Based on his experience with what kinds of analysts and mathematics are most successful in… Keep Reading