Investing Research Articles

Below is a weekly summary of our research findings for 9/12/22 through 9/16/22. 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.

A subscriber asked about a tactic that requires a subsequent confirming signal before triggering a strategy action. To investigate we use the 10-month simple moving average (SMA10) as applied to the S&P 500 Index and exploited via SPDR S&P 500 (SPY) over the available history of SPY. Specifically, we compare performances of the following three… Keep Reading

A subscriber asked about a tactic employed in some strategies wherein a new X-day high (breakout) triggers a buy and a new Y-day low (breakdown) triggers a sell. Specific X:Y values requested are 55:20, 100:20, 200:20, 100:50 and 200:100. To investigate, we apply this tactic to SPDR S&P 500 (SPY) over its entire history, using… Keep Reading

Below is a weekly summary of our research findings for 9/6/22 through 9/9/22. 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.

Should investors believe that long-term asset class return forecasts are useful? In his brief August 2022 paper entitled “How Accurate are Capital Market Assumptions, and How Should We Use Them?”, Mike Sebastian employs 10 years of annual Survey of Capital Market Assumptions by Horizon Actuarial Services to assess the industry’s ability to gauge 10-year future… Keep Reading

Do morning and afternoon stock returns convey different meanings due to gradual dissipation of information asymmetry among traders during the trading day (as the market digests overnight news)? In their August 2022 paper entitled “A Tale of One Day: Morning Momentum, Afternoon Reversal”, Haoyu Xu and Xiaoneng Zhu investigate differences in implications for reversal and… Keep Reading

A subscriber, referring to a March 2016 commentary stating that “microcap stocks offer investors one of the best opportunities for consistent, long-term excess returns,” inquired about the performance of quality-value-momentum microcap strategy described therein. To assessment this strategy, we compare the self-reported annual performance of the O’Shaughnessy Micro Cap strategy (OSMC) as of June 2022… Keep Reading

Below is a weekly summary of our research findings for 8/29/22 through 9/2/22. 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.

Do brokers who accept payments for order flow (PFOF) pass this income through to customers in the form of cheaper trade execution? In his June 2022 paper entitled “Price Improvement and Payment for Order Flow: Evidence from A Randomized Controlled Trial”, Bradford Lynch compares execution quality for trading randomly selected U.S. common stocks with at… Keep Reading

Does the U.S. stock market respond predictably to Federal Open Market Committee (FOMC) announcements, typically released between 14:00 and 14:20 EST? In the August 2022 version of their paper entitled “The FOMC Announcement Reversal”, Tommaso Baglioni and Ruy Ribeiro examine the relationship between pre-FOMC announcement returns and post-FOMC announcement returns. Specifically, they test a reversal… Keep Reading