Investing Research Articles

Does crude oil (an important part of commodity indexes) exhibit an exploitable price seasonality? To check, we examine three monthly series: Spot prices for West Texas Intermediate (WTI) Cushing, Oklahoma crude oil since the beginning of 1986 (34+ years). Nearest expiration futures prices for crude oil since April 1983 (37+ years). Prices for United States… Keep Reading

How connected are principal measures of U.S. economic activity and U.S. stock market performance? In their October 2020 paper entitled “Has the Stock Market Become Less Representative of the Economy?”, Frederik Schlingemann and René Stulz model and measure relationships between market capitalizations of U.S. publicly listed firms and their contributions to U.S. employment and Gross… Keep Reading

Below is a weekly summary of our research findings for 11/23/20 through 11/27/20. 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 are attitudes toward Bitcoin as an investment evolving? In their October 2020 survey report entitled “Comparing Public Bitcoin Adoption Rates in 2020 vs 2017”, the Tokenist summarizes findings from a survey using the same questions as three of the most widely cited past surveys on Bitcoin adoption from October 2017, July 2018 and April… Keep Reading

Do differences in equity sector responses to stock market crashes (and associated volatility spikes) support an exploitably attractive sector rotation strategy? In the November 2020 update of his paper entitled “Actively Using Passive Sectors to Generate Alpha Using the VIX”, Michael Gayed examines a cyclical-defensive sector rotation strategy using the level of the CBOE S&P… Keep Reading

Do stocks with high borrowing costs reliably underperform? In their October 2020 paper entitled “The Loan Fee Anomaly: A Short Seller’s Best Ideas”, Joseph Engelberg, Richard Evans, Gregory Leonard, Adam Reed and Matthew Ringgenberg examine equity loan fees (stock borrowing costs) as a predictor of stock returns. For perspective, they compare returns of their loan… Keep Reading

Below is a weekly summary of our research findings for 11/16/20 through 11/20/20. 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.

“Market Impacts of Growth in Target Date Funds” summarizes research on potential market-wide effects of periodic rebalancing actions of Target Date Funds (TDF), which trade against momentum. One piece of evidence is that monthly autocorrelation of S&P 500 Index returns is significantly negative during 2010-2019 but not during 1986-1995 or 1996-2005. Another is that TDFs… Keep Reading

Are aggregate periodic stocks-bonds rebalancing actions of Target Date Funds (TDF), which trade against momentum, increasingly affecting U.S. stock market dynamics? In their October 2020 paper entitled “Retail Financial Innovation and Stock Market Dynamics: The Case of Target Date Funds”, flagged by a subscriber, Jonathan Parker, Antoinette Schoar and Yang Sun examine market impacts of… Keep Reading

Does the U.S. stock market respond predictably to simultaneous earnings announcements of attention-grabbing companies? In their September 2020 paper entitled “Famous Firms, Earnings Clusters, and the Stock Market”, Yixin Chen, Randolph Cohen and Zixuan Wang examine U.S. stock market (E-mini S&P 500 futures) responses to earnings announcement clusters (EAC) comprised of high-attention firms. They focus… Keep Reading