Investing Research Articles

Do stocks added to major indexes, such as the S&P 500 Index, exhibit exceptionally strong subsequent returns? In their July 2020 paper entitled “Does Joining the S&P 500 Index Hurt Firms?”, Benjamin Bennett, René Stulz and Zexi Wang investigate effects on firms/stocks of joining the S&P 500 Index and whether these effects change over time…. Keep Reading

Below is a weekly summary of our research findings for 8/3/20 through 8/7/20. 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.

Is the nominal incentive fee charge by hedge funds (typically 20% of profits exceeding a previous high-water mark) representative of the actual aggregate incentive fee paid by fund investors? In the July 2020 revision of their paper entitled “The Performance of Hedge Fund Performance Fees”, Itzhak Ben-David, Justin Birru and Andrea Rossi (1) quantify the… Keep Reading

Can individual investors make a living by day trading? In the June 2020 update of their paper entitled “Day Trading for a Living?”, Fernando Chague, Rodrigo De-Losso and Bruno Giovannetti analyze performances of all Brazilian retail investors who begin trading futures on the main Brazilian stock index during 2013 through 2015 and persist in this… Keep Reading

How should investors evaluate the effectiveness of a safe haven asset? In their July 2020 paper entitled “A Safe Haven Index”, Dirk Baur and Thomas Dimpfl devise and apply a safe haven index (SHI) to evaluate over 20 individual potential safe haven assets. SHI consists of seven equal-weighted assets: gold, Swiss franc, Japanese yen, 2-year,… Keep Reading

Below is a weekly summary of our research findings for 7/27/20 through 7/31/20. 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.

Will machine learning revolutionize asset management? In their January 2020 paper entitled “Can Machines ‘Learn’ Finance?”, Ronen Israel, Bryan Kelly and Tobias Moskowitz identify and discuss unique challenges in applying machine learning to asset return prediction, with the goal of setting realistic expectations for how much machine learning can improve asset management. Based on general… Keep Reading

Below is a weekly summary of our research findings for 7/20/20 through 7/24/20. 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.

Is a 10-month simple moving average (SMA10) the best SMA for long-term crossing signals? If not, is there some other optimal SMA lookback interval? To check, we compare performance statistics for SMA crossing signals generated by lookback intervals ranging from 2 (SMA2) to 48 months (SMA48), as applied to the S&P 500 Index. Using monthly… Keep Reading

Do returns for “smart beta” indexes, constructed to exploit research on one or more factors that predict individual stock returns, reliably predict returns for exchange-traded funds (ETF) introduced to track them? In the June 2020 version of their preliminary paper entitled “The Smart Beta Mirage”, Shiyang Huang, Yang Song and Hong Xiang compare returns of… Keep Reading