Investing Research Articles

Below is a weekly summary of our research findings for 2/14/22 through 2/18/22. 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.

Using quarterly data in their April 2013 paper entitled “Analyzing Federal Reserve Asset Purchases: From Whom Does the Fed Buy?” Seth Carpenter, Selva Demiralp, Jane Ihrig and Elizabeth Klee find that some categories of investors appear to sell U.S. Treasuries to the Federal Reserve and rebalance toward riskier assets (corporate bonds, commercial paper, and municipal… Keep Reading

Below is a weekly summary of our research findings for 2/7/22 through 2/11/22. 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.

What happens after extreme up days or extreme down days for the U.S. stock market? To investigate, we define extreme up or down days as those with daily returns at least X standard deviations above or below the average daily return over the past four years (the U.S. political cycle, about 1,000 trading days). This… Keep Reading

Do stocks of firms focused on luxury goods outperform those of more prosaic companies? In his June 2019 paper entitled “Demand-Driven Risk and the Cross-Section of Expected Returns”, Alejandro Lopez-Lira examines aggregate performance of firms selling goods with high income elasticity (luxury goods), assuming that such firms are particularly exposed to demand-driven risk (consumption shocks)…. Keep Reading

A reader asked: “Should the moving average crossover threshold be symmetrical, or does it make sense to try getting back in close to the bottom?” In other words, should we use a 10-month simple moving average (SMA10) for the typical long bull stock market and then switch to a 3-month average (SMA3) after crossing under… Keep Reading

Does the number of factors significantly predicting next-month stock returns vary substantially over time? If so, what accounts for the variation? In their December 2021 paper entitled “Time Series Variation in the Factor Zoo”, Hendrik Bessembinder, Aaron Burt and Christopher Hrdlicka investigate time variation in the statistical significance of 205 previously identified equity factors before,… Keep Reading

Below is a weekly summary of our research findings for 1/31/22 through 2/4/22. 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 expanding and modifying the asset universe for the Simple Asset Class ETF Momentum Strategy (SACEMS) to consist of the following exchange-traded funds (ETF): SPDR Portfolio S&P 500 Growth (SPYG) SPDR Portfolio S&P 500 Value (SPYV) iShares Russell 2000 Growth (IWO) iShares Russell 2000 Value (IWN) Invesco QQQ Trust (QQQ) iShares MSCI EAFE Index (EFA)… Keep Reading

Are some passive exchange-trade-fund (ETF) managers more efficient than others in adjusting to changes in underlying benchmark indexes? In the December 2021 revision of his paper entitled “Should Passive Investors Actively Manage Their Trades?”, Sida Li employs daily holding data of passive ETFs to compare and quantify effects of different approaches to portfolio reformation to… Keep Reading