Investing Research Articles

A subscriber hypothesized that keeping old underwear is an early indicator of personal income at risk. Trends in underwear, as proxied by Hanesbrands Inc. (HBI), may therefore be a leading indicator of trends in the overall stock market. To test this hypothesis, we relate HBI returns to SPDR S&P 500 ETF Trust (SPY) returns at… Keep Reading

Has the quick reaction of exchange-traded funds (ETF) to marketwide news made the stocks they hold more efficient than other stocks, thereby suppressing the strength of anomalies in stocks held? In their March 2022 paper entitled “ETFs, Anomalies and Market Efficiency”, Ilias Filippou, Songrun He and Guofu Zhou investigate effects of ETF ownership within the… Keep Reading

Should investors consider allocations to bitcoin (BTC) in their investment portfolios? In their February 2022 paper entitled “Asset Allocation with Crypto: Application of Preferences for Positive Skewness”, Andrew Ang, Tom Morris and Raffaele Savi investigate how investors should think about allocations to BTC based on features of its historical return distribution. Specifically, they model optimal… Keep Reading

A subscriber asked whether it works to buy natural gas before big winter storms. To investigate, we look at the interactions between a sample of major winter storms in the U.S. northeast (NE) and contemporaneous prices of the futures-based United States Natural Gas Fund, LP (UNG). Using daily adjusted closes of UNG and dates of… Keep Reading

Below is a weekly summary of our research findings for 4/11/22 through 4/14/22. 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 popular capitalization-based exchange-traded funds (ETF) offer a reliable way to exploit an equity size effect? To investigate, we look at the difference in returns (small minus big) between: iShares Russell 2000 Index (Smallcap) Index (IWM), and SPDR S&P 500 (SPY) Using monthly dividend-adjusted closing prices for these ETFs during May 2000 (limited by IWM)… Keep Reading

Below is a weekly summary of our research findings for 4/4/22 through 4/8/22. 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 stocks of homebuilders, whose sales are particularly sensitive to interest rate changes, reliably lead the overall stock market. To check, we look at lead-lag relationships between monthly returns for SPDR S&P Homebuilders ETF (XHB) and returns for SPDR S&P 500 ETF Trust (SPY). Using monthly dividend-adjusted returns for XHB and SPY during February 2006… Keep Reading

Each month, the Census Bureau announces and the financial media report U.S. housing starts as a potential indicator of future U.S. stock market returns. Release date is about two weeks after the month being reported. New releases may substantially revise recent past releases, so that the Census Bureau historical data set effectively has a longer lag…. Keep Reading

Each month, the Census Bureau announces and the financial media report U.S. new home sales as a potential indicator of future U.S. stock market returns. Release date is about three weeks after the month being reported. Moreover, new releases may substantially revise recent past releases, so that the Census Bureau historical dataset effectively has a… Keep Reading