Investing Research Articles

How does a large sample of stock return anomalies fare in recent replication testing? In their October 2018 paper entitled “Replicating Anomalies”, Kewei Hou, Chen Xue and Lu Zhang attempt to replicate 452 published U.S. stock return anomalies, including 57, 69, 38, 79, 103, and 106 anomalies 57 momentum, 69 value-growth, 38 investment, 79 profitability, 103 intangibles and 106… Keep Reading

Below is a weekly summary of our research findings for 11/12/18 through 11/16/18. 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.

Can investors time premiums associated with widely used stock/firm fundamental ratios? In their September 2018 paper entitled “It Takes Two to Tango: Fundamental Timing in Stock Market”, Fuwei Jiang, Xinlin Qi, Guohao Tang and Nan Huang use a simple moving average (SMA) trend indicator to time premiums associated with four fundamental stock/firm ratios: book-to-market (BM), earnings-to-price (EP), gross profitability… Keep Reading

Which economic variables are most important for predicting stock returns? In their October 2018 paper entitled “Sparse Macro Factors”, David Rapach and Guofu Zhou apply machine learning to isolate via sparse principal component analysis (PCA) which of 120 economic variables from the FRED-MD database most influence stocks. These variables span output/income, labor market, housing, consumption, orders/inventories, money/credit, yields/exchange rates… Keep Reading

Below is a weekly summary of our research findings for 11/5/18 through 11/9/18. 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 intraday U.S. stock returns still tend to reverse preceding overnight returns as found in prior research? In their August 2018 paper entitled “Overnight Return, the Invisible Hand Behind The Intraday Return? A Retrospective”, Ben Branch and Aixin Ma revisit prior research on the relationship between overnight and intraday returns of U.S. stocks. Specifically, they relate average… Keep Reading

What is the best way to suppress trading frictions for active, long-term stock portfolios? In their September 2018 paper entitled “Comparing Cost-Mitigation Techniques”, Robert Novy-Marx and Mihail Velikov compare three approaches to suppression of trading frictions for long-term stock factor premium capture strategies: Limiting selection to stocks that are cheap to trade. Rebalancing infrequently. Imposing a penalty for… Keep Reading

…evidence from simple statistics suggests that investors should not count on the long-run stability of the equity investing environment or on continuity of short-term relationships between past and future returns.

Below is a weekly summary of our research findings for 10/29/18 through 11/2/18. 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.

How does use of actuarial estimates of retiree longevity and empirical mean reversion of stock market returns affect estimated retirement portfolio success rates? In the October 2018 revision of his paper entitled “Joint Effect of Random Years of Longevity and Mean Reversion in Equity Returns on the Safe Withdrawal Rate in Retirement”, Donald Rosenthal presents a… Keep Reading