Investing Research Articles

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

Below is a weekly summary of our research findings for 6/28/21 through 7/2/21. 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.

Overall, how do retail option traders perform compared to institutional counterparts, and what accounts for any performance difference? In their June 2021 paper entitled “Who Profits From Trading Options?”, Jianfeng Hu, Antonia Kirilova, Seongkyu Park and Doojin Ryu use account-level transaction data to examine trading styles and profitability by investor category for KOSPI 200 index… Keep Reading

A subscriber asked for corroboration of an assertion that a negative 30-year U.S. Treasury real yield indicates a good time to buy gold. To investigate, we employ the following monthly data: 30-year U.S. Treasury constant maturity yield (30-year) since February 1977 (the limiting series). Total U.S. consumer price index (CPI) since February 1976. Spot gold… Keep Reading

How sensitive are returns of stocks, bonds and gold to levels real interest rates (nominal rates minus inflation)? To investigate, we consider three nominal interest rates and two measures of inflation, as follows: 3-month U.S. Treasury Bill Yield (3-month). 1-year U.S. Treasury Constant Maturity Rate (1-year). 10-year Treasury Constant Maturity Rate (10-year). Personal Consumption Expenditures:… Keep Reading

Below is a weekly summary of our research findings for 6/21/21 through 6/25/21. 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.

Why have U.S. public pension, endowment and other non-profit funds (institutional investors) consistently underperformed simple, investible passive benchmarks since 2008? How should they remedy that underperformance? In his April 2021 paper entitled “How to Improve Institutional Fund Performance”, Richard Ennis summarizes prior papers quantifying post-2008 institutional investor returns and recommends how institutions can improve this… Keep Reading

What drives the price of gold: inflation, interest rates, stock market behavior, public sentiment? To investigate, we relate monthly and annual spot gold return to changes in: Non-seasonally adjusted Consumer Price Index (CPI). Nominal and real short-term (ST) interest rates based on 3-month U.S. Treasury bill yield. S&P 500 Index return. University of Michigan (UM) Consumer… Keep Reading