Investing Research Articles

Do widely accepted equity factor premiums exist in data older than generally employed in academic studies? In their November 2021 paper entitled “The Cross-Section of Stock Returns before 1926 (And Beyond)”, Guido Baltussen, Bart van Vliet and Pim van Vliet look for some of the most widely accepted factor premiums in a newly assembled sample… Keep Reading

Trading Calendar presents full-year and monthly cumulative performance profiles for the overall stock market (S&P 500 Index) based on its average daily behavior. How much do the corresponding monthly behaviors of the various size and value/growth styles deviate from an overall equity market profile? To investigate, we consider the the following six exchange-traded funds (ETF)… Keep Reading

Do the choices researchers make in modeling, sample grooming and programming to test hypotheses materially affect their findings? In their November 2021 paper entitled “Non-Standard Errors”, 164 research teams and 34 peer reviewers representative of the academic empirical finance community investigate this source of uncertainty (non-standard error, as contrasted to purely statistical standard error). Specifically,… Keep Reading

Below is a weekly summary of our research findings for 11/29/21 through 12/3/21. 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 the conventional way of estimating the equity risk premium based on total shareholder return (TSR, assuming reinvestment of all dividends into stocks) reasonable? In their November 2021 paper entitled “Stock Investors’ Returns are Exaggerated”, Jesse Fried, Paul Ma and Charles Wang examine the realism of TSR as a measure of aggregate U.S. equity investor… Keep Reading

Below is a weekly summary of our research findings for 11/22/21 through 11/26/21. 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.

Do U.S. non-farm job openings, a measurement from the Job Openings and Labor Turnover Survey run monthly by the U.S. Bureau of Labor Statistics, have implications for future U.S. stock market return? High (low) job openings rate may indicate a strong (weak) economy and/or may signal high (low) wage inflation. To investigate, we relate job… Keep Reading

Do quarterly allocation updates for the Best Value and Weighted versions of the “Simple Asset Class ETF Value Strategy” (SACEVS) work as well as monthly updates? These strategies allocate funds to the following asset class exchange-traded funds (ETF) according to valuations of term, credit and equity risk premiums, or to cash if no premiums are undervalued: 3-month Treasury bills (Cash)… Keep Reading

Below is a weekly summary of our research findings for 11/15/21 through 11/19/21. 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.

Can machine learning usefully inform daily crypto-asset trading? In their August 2021 paper entitled “Boosting Cryptocurrency Return Prediction”, Ilias Filippou, David Rapach and Christoffer Thimsen apply the XGBoost algorithm to decision trees to generate next-day forecasts of bitcoin and Ethereum excess returns. They consider 39 potential predictor inputs, including: valuation ratios (network value-to-transactions, addresses-to-network value… Keep Reading