Investing Research Articles

Does variation in the number of reported cases of COVID-19 predict near-term asset returns? To investigate, we look for a test acknowledging that the available sample is short and very noisy. Specifically: To suppress noise, we use the 7-day moving average of U.S. COVID-19 cases. To avoid measurement overlap, we calculate weekly changes in this… Keep Reading

Below is a weekly summary of our research findings for 9/27/21 through 10/1/21. 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 intensity of public interest in a “bear market” useful for predicting stock market return? To investigate, we download monthly U.S. Google Trends search intensity data for “bear market” and relate this series to monthly S&P 500 Index returns. For comparison with the “investor fear gauge,” we also relate search data to monthly CBOE option-implied… Keep Reading

A subscriber asked about the performance of a strategy that each month has five equal-weighted positions: SPDR Gold Shares (GLD) to represent gold if its past 2-month and 12-month returns are both positive, or otherwise iShares 1-3 Year Treasury Bond (SHY). iShares MSCI ACWI (ACWI) to represent all-world equities if its past 2-month and 12-month returns… Keep Reading

Do any of the major U.S. stock market sectors systematically lead or lag the overall market, perhaps because of some underlying business/economic cycle? To investigate, we examine the behaviors of the nine sectors defined by the Select Sector Standard & Poor’s Depository Receipts (SPDR) exchange traded funds (ETF): Materials Select Sector SPDR (XLB) Energy Select… Keep Reading

“Margin Debt as a Stock Market Indicator” investigates whether NYSE margin debt predicts future stock market returns. Since updates to this variable are not available, we instead consider the following three aggregate monthly investment account metrics from the Financial Industry Regulatory Authority (FINRA) as alternative margin-related indicators of investor sentiment: Margin account debt (aggressive use… Keep Reading

Below is a weekly summary of our research findings for 9/20/21 through 9/24/21. 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.

Unlike publicly traded assets generally, investors/speculators can buy and sell bitcoin any day of the week. Do bitcoin returns exhibit anomalies by day of the week, perhaps especially because of weekend trading? To investigate, we calculate (1) average returns and return variabilities for each day of the week; and, (2) gross cumulative returns for holding… Keep Reading

A reader requested a test of the following hypothesis from the article “Gold’s Bluff – Is a 30 Percent Drop Next?” [no longer available]: “Ironically, gold is more than just a hedge against market turmoil. Gold is actually one of the most accurate indicators of the stock market’s long-term direction. The Dow Jones measured in gold is a… Keep Reading

Speculator level of interest (attention) is plausibly key to bitcoin price behavior. Does the level of online searches for “bitcoin” as a proxy for attention usefully predict bitcoin return? To investigate, we examine interactions between monthly worldwide search intensity for “bitcoin” as measured by Google Trends to represent speculator attention and monthly bitcoin returns. Using… Keep Reading