Investing Research Articles

“Return-based Analysis of Demographics as Stock Market Predictor”, building on formal research summarized in “Demographic Headwind for U.S. Stock Market?” and “Classic Research: Demography and the Stock Market”, looks at interactions between U.S. age demographics and U.S. stock market behavior. What does adding a decade of data say? To investigate we look at interactions between:… Keep Reading

What are the return behaviors of non-fungible tokens (NFT), which employ blockchain technology to convey ownership of unique digital or physical items? In their March 2022 paper entitled “The Economics of Non-Fungible Tokens”, Nicola Borri, Yukun Liu and Aleh Tsyvinski assemble a comprehensive dataset of NFT transactions (including digital art/media and objects related to virtual… Keep Reading

Below is a weekly summary of our research findings for 3/28/22 through 4/1/22. 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.

A subscriber suggested comparing intrinsic momentum (IM), also called absolute momentum and time series momentum, to simple moving average (SMA) as alternative signals for equity market entry and exit. To investigate across a wide variety of economic and market conditions, we measure the long run performances of entry and exit signals from IMs over past… Keep Reading

Do often frenzied investors/traders tend to overdo buying and selling, coming to their senses shortly thereafter? In other words, does the broad U.S. stock market tend to revert after short-term moves up or down? To check, we relate sequential past and future return intervals of 1, 2, 3, 5, 10, 15 and 21 trading days…. Keep Reading

Does the U.S. stock market reliably exhibit extreme behavior on days (mid-afternoon) when the Federal Open Market Committee (FOMC) of the Federal Reserve Board issues its meeting minutes? Might the minutes be systematically encouraging, discouraging, calming or exciting? Using release dates for these minutes and contemporaneous daily open, high, low and close levels of the S&P 500… Keep Reading

Are there anomalies for U.S. stock market returns around equity option expiration (OE) days (normally the third Friday of each month, but the preceding Thursday when the market is closed on the third Friday)? To investigate, we examine close-to-close S&P 500 Index returns from five trading days before through five trading days after a moderately… Keep Reading

Below is a weekly summary of our research findings for 3/21/22 through 3/25/22. 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.

How should the variability of stock market returns shape the outlooks of short-term traders and long-term investors? How strong is the tailwind of the general drift upward in stock prices? How powerful is the turbulence of variability? Does the tailwind ever overcome the turbulence? To investigate we consider all holding periods for the S&P 500… Keep Reading

Which of the explanations offered in past research best explains, and potentially justifies belief in persistence of, stock return momentum? In the February 2022 revision of their paper entitled “What Explains Momentum? A Perspective From International Data”, Amit Goyal, Narasimhan Jegadeesh and Avanidhar Subrahmanyam test alternative explanations for momentum as hypothesized in earlier studies on… Keep Reading