Investing Research Articles

Is investor attraction to high-reward/high-risk (lottery) stocks a crucial contributor to stock return anomalies? In their May 2020 paper entitled “Lottery Preference and Anomalies”, Lei Jiang, Quan Wen, Guofu Zhou and Yifeng Zhu aggregate 16 measures of lottery preference into a single long-short factor via time-varying linear combination. Examples of the 16 measures are: maximum… Keep Reading

Are published studies that predict higher returns for some U.S. stocks and lower for others based on firm accounting, stock trading and other data reproducible? In their May 2020 paper entitled “Open Source Cross-Sectional Asset Pricing”, Andrew Chen and Tom Zimmermann make available data and code that reproduce many published cross-sectional stock return predictors, allowing… Keep Reading

What are the roles of changes in earnings forecasts and the discount rate on stock valuation during the COVID-19 stock market crash? In the May 2020 update of their paper entitled “Earnings Expectations in the COVID Crisis”, Augustin Landier and David Thesmar investigate firm-level analyst earnings forecast revisions and discount rate changes as jointly reflected… Keep Reading

Does multi-class investing boost performance for sophisticated investors such as educational endowments? In his June 2020 paper entitled “Endowment Performance and the Demise of the Multi-Asset-Class Model”, Richard Ennis examines recent performance of educational endowment funds, with focus on allocations to alternative assets. Using performance data from a report on 774 university endowments and from… Keep Reading

Are widely accepted equity factor exposures available in fact to investors via “smart beta” mutual funds and exchange-traded funds (ETF)? In their May 2020 paper entitled “Smart Beta Made Smart”, Andreas Johansson, Riccardo Sabbatucci and Andrea Tamoni test effectiveness of individual U.S. equity mutual funds and ETFs and combinations of these funds for exploiting several… Keep Reading

Below is a weekly summary of our research findings for 6/22/20 through 6/26/20. 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. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Is there a way to mitigate adverse impact of price trajectory turning points (trend changes) on performance of intrinsic (absolute or time series) momentum strategies? In their May 2020 paper entitled “Breaking Bad Trends”, Ashish Garg, Christian Goulding, Campbell Harvey and Michele Mazzoleni measure impact of turning points on time series momentum strategy performance across… Keep Reading

Below is a weekly summary of our research findings for 6/15/20 through 6/19/20. 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. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Does the U.S. stock market exhibit reliable and exploitable trends as measured by intrinsic (absolute or time series) momentum? In their April 2020 paper entitled “Time Series Momentum in the US Stock Market: Empirical Evidence and Theoretical Implications”, Valeriy Zakamulin and Javier Giner examine evidence of time series momentum in the excess returns (relative to… Keep Reading

In response to “Exploiting Chicago Fed NFCI Predictive Power”, which tests practical use of the Federal Reserve Bank of Chicago’s National Financial Conditions Index (NFCI) for U.S. stock market timing, a subscriber suggested combining this strategy with stock market trend as in “Combine Market Trend and Economic Trend Signals?”. To investigate, we use the 40-week… Keep Reading