Investing Research Articles

How frequently and permanently do individual U.S. investors sell stocks in a panic? In their August 2021 paper entitled “When Do Investors Freak Out?: Machine Learning Predictions of Panic Selling”, Daniel Elkind, Kathryn Kaminski, Andrew Lo, Kien Wei Siah and Chi Heem Wong examine frequency, timing and duration of panic selling. They define panic selling… Keep Reading

Below is a weekly summary of our research findings for 9/7/21 through 9/10/21. 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.

In response to “Combining SMA10 and Sahm Indicator”, a subscriber asked for a comparison of signals generated by the Sahm Recession Indicator (Sahm) and by yield curve inversion. The former signals a recession when the 3-month simple moving average (SMA) of the U.S. unemployment rate is at least 0.5% higher than its low during the… Keep Reading

Below is a weekly summary of our research findings for 8/30/21 through 9/3/21. 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.

Is Bitcoin beginning to displace gold as a U.S. dollar hedge? To investigate, we look at rolling correlations of returns for the following pairs of exchange-traded funds (ETF): Grayscale Bitcoin Trust (GBTC) and SPDR Gold Shares (GLD). This relationship should perhaps trend negative if investors are shifting from gold to Bitcoin. GBTC and Invesco DB… Keep Reading

Is the ratio of implied volatility of implied volatility (CBOE VVIX Index), interpretable as a measure of changes in investor fear level, to CBOE VIX Index itself a useful indicator of future stock market returns? To investigate, we relate monthly VVIX/VIX and monthly change in VVIX/VIX to monthly SPDR S&P 500 (SPY) total returns. Using… Keep Reading

Below is a weekly summary of our research findings for 8/23/21 through 8/27/21. 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 credit portfolio managers adjust their portfolios more expeditiously than equity managers, thereby offering a means to time the equity market? In his August 2021 paper entitled “Credit-Informed Tactical Asset Allocation – 10 Years On”, David Klein updates and enhances the strategy presented in his paper of June 2011 (see “Credit as a Tactical Asset… Keep Reading

A subscriber asked about a stock market timing strategy that combines the market 10-month simple moving average (SMA10) and the Sahm Recession Indicator (Sahm), which signals the start of a recession when the 3-month SMA of the U.S. unemployment rate is at least 0.5% higher than its low during the last 12 months. Specifically, the… Keep Reading

Leading index providers have introduced thematic stock indexes to address transformative macroeconomic, geopolitical or technological trends (for example, cybersecurity, robotics, autonomous vehicles and clean power). How do these indexes relate to standard asset pricing models? In his August 2021 paper entitled “Betting Against Quant: Examining the Factor Exposures of Thematic Indices”, David Blitz examines the… Keep Reading