Investing Research Articles

U.S. job gains or losses receive prominent coverage in the monthly financial news cycle, with media and expert commentators generally interpreting employment changes as an indicator of future economic and stock market health. One line of reasoning is that jobs generate personal income, which spurs personal consumption, which boosts corporate earnings and lifts the stock… Keep Reading

Does the sentiment of social media uniquely predict stock market movements, or does it simply mirror the overall sentiment of traditional media? In their May 2021 paper entitled “Investor Sentiment, Media and Stock Returns: The Advancement of Social Media”, Ioanna Lachana and David Schröder compare abilities of daily social and traditional media sentiments to predict… Keep Reading

Below is a weekly summary of our research findings for 7/12/21 through 7/16/21. 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 reader commented and asked: “A wide credit spread (the difference in yields between Treasury notes or Treasury bonds and investment grade or junk corporate bonds) indicates fear of bankruptcies or other bad events. A narrow credit spread indicates high expectations for the economy and corporate world. Does the credit spread anticipate stock market behavior?”… Keep Reading

What Decentralized Finance (DeFi) issues may dampen associated interest in crypto-assets by undermining its promises of lower costs and risks compared to traditional, centralized financial intermediaries? In their June 2021 book chapter entitled “DeFi Protocol Risks: the Paradox of DeFi”, Nic Carter and Linda Jeng discuss five sources of DeFi risk: Interconnections with the traditional financial… Keep Reading

Below is a weekly summary of our research findings for 7/6/21 through 7/9/21. 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.

Is aggregate data snooping bias (p-hacking) in financial markets research a big issue or a minor concern? In their June 2021 paper entitled “Uncovering the Iceberg from Its Tip: A Model of Publication Bias and p-Hacking”, Campbell Harvey and Yan Liu model the severity of p-hacking based on the view that there are, in fact,… Keep Reading

Can machine learning-generated stock market crash predictions be amenable to human interpretation? In their June 2021 paper entitled “Explainable AI (XAI) Models Applied to Planning in Financial Markets”, Eric Benhamou, Jean-Jacques Ohana, David Saltiel and Beatrice Guez apply a gradient boosting decision tree (GBDT) to 150 technical, fundamental and macroeconomic inputs to generate daily predictions… Keep Reading

How do investors react to different kinds of firm-level environmental, social and governance (ESG) news? In their April 2021 paper entitled “Which Corporate ESG News does the Market React to?”, George Serafeim and Aaron Yoon examine stock returns around ESG news from analysts, media, advocacy groups and government regulators (but not firms themselves) as compiled/evaluated… Keep Reading

Is outperformance of green (environmentally friendly) stocks relative to brown (not environmentally friendly) stocks due to firm performance or concern about the climate? In other words, do green stocks carry a climate concern premium? In their June 2021 paper entitled “Dissecting Green Returns”, Lubos Pastor, Robert Stambaugh and Lucian Taylor examine relative performance of green… Keep Reading