Investing Research Articles

Do stock dividends exhibit exploitable risk premiums? In their July 2018 paper entitled “A Model-Free Term Structure of U.S. Dividend Premiums”, Maxim Ulrich, Stephan Florig and Christian Wuchte construct a term structure of the dividend risk premium and test strategies to time this premium at specific horizons. They specify dividend risk premium as the spread between: Expected dividend growth… Keep Reading

From a purely statistical perspective, how many factors are optimal for explaining both time series and cross-sectional variations in stock anomaly/stock returns, and how do these statistical factors relate to stock/firm characteristics? In their July 2018 paper entitled “Factors That Fit the Time Series and Cross-Section of Stock Returns”, Martin Lettau and Markus Pelger search for the… Keep Reading

Larry Connors introduces his 2018 book, Buy the Fear, Sell the Greed: 7 Behavioral Quant Strategies for Traders, by stating in Chapter 1 that the book shows when, where and how: “…to trade directly against traders and investors who are having…feelings of going crazy and impending doom. …The goal of this book is to make you aware of… Keep Reading

A reader proposed: “I recently found something interesting while analyzing the ratio of the equal-weighted S&P 500 Index to its market capitalization-weighted counterpart. Whenever this ratio declines (out of an uptrend), the market crashes (July 2007, September-October 2008, July 2011). Also, when this ratio starts rising, the recovery commences (April 2009). The indicator seems to… Keep Reading

In the June 2018 draft of their paper entitled “An Information Factor: Can Informed Traders Make Abnormal Profits?”, Matthew Ma, Xiumin Martin, Matthew Ringgenberg and Guofu Zhou construct and test a long-short information factor (INFO) based on observed trading of firm insiders, short sellers and option traders. Specifically, the INFO portfolio: Is each month long the 10% (decile) of… Keep Reading

Patrick Donohoe introduces his 2018 book, Heads I Win, Tails You Lose: A Financial Strategy to Reignite the American Dream, by stating that the book: “…will teach you many of the principles and strategies to help discover your own path to financial freedom. Most importantly, it will show you the mindset required to carry out a successful… Keep Reading

Should investors consider Bitcoin as a safe haven from turbulent financial markets? In their June 2018 paper entitled “Bitcoin as a Safe Haven: Is It Even Worth Considering?”, Lee Smales and Dirk Baur assess the potential for Bitcoin as a safe haven, focusing on considerations beyond its low return correlations with other assets during times of market… Keep Reading

Is there an exploitable way to predict when short-term stock market return will be negative? In his June 2018 paper entitled “Predictable Downturns”, Carter Davis tests a random forest regression-based forecasting model to predict next-day U.S. stock market downturns. He uses the value-weighted return of a portfolio of the 10 U.S. stocks with the largest market… Keep Reading

Each week the media report U.S. initial and continued unemployment claims (seasonally adjusted) as a potential indicator of future U.S. stock market returns. Do these indicators move the market? To investigate, we focus on weekly changes in unemployment claims during a period of “modern” information dissemination to release-day and next-week stock market returns. By modern… Keep Reading

Are there any gold trading strategies that reliably beat buy-and-hold? In their April 2018 paper entitled “Investing in the Gold Market: Market Timing or Buy-and-Hold?”, Viktoria-Sophie Bartsch, Dirk Baur, Hubert Dichtl and Wolfgang Drobetz test 4,095 seasonal, 18 technical, and 15 fundamental timing strategies for spot gold and gold futures. These strategies switch at the end of each month… Keep Reading