Investing Research Articles

How can investors account for inflation expectations in estimating attractiveness of equities? In their March 2020 article entitled “The Equity Risk Premium: A Novel Perspective on the Past Fifty Years”, James White and Victor Haghani offer a perspective on stock market long-term (10-year) attractiveness based on Equity Risk Premium (ERP) calculated as the difference between:… Keep Reading

“Verification Tests of the Smart Money Indicator” performs tests of ideas and setup features described in “Smart Money Indicator for Stocks vs. Bonds”. The Smart Money Indicator (SMI) is a complicated variable that exploits differences in futures and options positions in the S&P 500 Index, U.S. Treasury bonds and 10-year U.S. Treasury notes between institutional… Keep Reading

Below is a weekly summary of our research findings for 4/6/20 through 4/9/20. 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.

Findings in “Add Stop-gain to Asset Class Momentum Strategy?” suggest that systematic capture of upside volatility may enhance the base strategy. Does this conclusion hold for a simpler application to a single liquid asset over a longer sample period? To investigate, we apply a stop-gain rule to SPDR S&P 500 (SPY) that: (1) exits SPY… Keep Reading

What does the U.S. stock market at industry/firm levels say about investor expectations during and after the 2019 coronavirus (COVID-19) pandemic? In the April 2020 update of their paper entitled “Feverish Stock Price Reactions to COVID-19”, Stefano Ramelli and Alexander Wagner examine and interpret industry/firm-level reactions to COVID-19 across three pandemic phases: Incubation: January 2-17,… Keep Reading

Below is a weekly summary of our research findings for 3/30/20 through 4/3/20. 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.

Do stock anomaly (factor premium) portfolios exhibit exploitable value and momentum? In their February 2020 paper entitled “Value and Momentum in Anomalies”, Deniz Anginer, Sugata Ray, Nejat Seyhun and Luqi Xu investigate exploitability of time variation in the predictive ability of 13 published U.S. stock accounting and price-based anomalies based on: (1) anomaly momentum (1-month… Keep Reading

Economic data arrive too slowly to help investors navigate crises such as the 2019 coronavirus (COVID-19) outbreak. Are there data that support quick reactions? In their March 2020 paper entitled “Coronavirus: Impact on Stock Prices and Growth Expectations”, Niels Gormsen and Ralph Koijen employ equity index dividend futures by maturity to understand the evolution of… Keep Reading

Below is a weekly summary of our research findings for 3/23/20 through 3/27/20. 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.

Are some calendar months more likely to exhibit stock market continuation or reversal than others, perhaps due to seasonal or fund reporting effects? In other words, is intrinsic (times series or absolute) momentum an artifact of some months or all months? To investigate, we relate U.S. stock index returns for each calendar month to those… Keep Reading