Do funds based on Jim Cramer’s stock/market recommendations generate attractive returns? To investigate, we compare performances for Northern Lights Fund Trust IV – Long Cramer Tracker ETF (LJIM) and Northern Lights Fund Trust IV –...
Should retail investors accept the risk of non-execution and use limit orders to get better prices? In the August 2024 version of their paper entitled “Retail Limit Orders”, Amber Anand, Mehrdad Samadi, Jonathan Sokobin and...
Can relatively modest large language models (LLM), pretrained with diverse financial information, effectively rank stocks? In their September 2024 paper entitled “Re(Visiting) Large Language Models in Finance”, Eghbal Rahimikia and Felix Drinkall introduce base and...
Below is a weekly summary of our research findings for 10/14/24 through 10/18/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The Simple Asset Class ETF Value Strategy (SACEVS) includes an allocation to iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) when the credit premium, measured monthly based on the difference between the Moody’s Seasoned Baa...
Can investors reasonably anticipate the signals (stock rankings) for stock anomalies that are based on firm financial information. In their August 2024 paper entitled “Predicting Anomalies”, Boone Bowles, Adam Reed, Matthew Ringgenberg and Jake Thornock...
Can market efficiency be falling despite ubiquitous data, computing and networking? In his August 2024 paper entitled “The Less-Efficient Market Hypothesis”, Clifford Asness argues that markets have become less efficient in the relative pricing of...
Would someone who knows tomorrow’s financial headlines today be a good day trader? In their September 2024 paper entitled “When a Crystal Ball Isn’t Enough to Make You Rich”, Victor Haghani and James White report...
Below is a weekly summary of our research findings for 10/7/24 through 10/11/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is momentum a rational firm earnings growth proxy rather than a manifestation of investor underreaction/overreaction to news? In their August 2024 paper entitled “A Unified Framework for Value and Momentum”, Jacob Boudoukh, Tobias Moskowitz, Matthew...
What variables best explain increases and decreases in Cyclically Adjusted Price-to-Earnings ratio (CAPE or P/E10)? In their August 2024 paper entitled “Analyzing Changing ‘Investor Exuberance’: The Determinants of S&P Composite Index Total Return CAPE Changes”,...
How consequential are trading frictions for equity options, and how do these frictions vary across brokers? In their September 2024 paper entitled “Some Anonymous Options Trades Are More Equal than Others”, Xing Huang, Philippe Jorion...
Why have stock return anomalies generally degraded over recent decades? In their August 2024 paper entitled “What Drives Anomaly Decay?”, Jonathan Brogaard, Huong Nguyen, Tālis Putniņš and Yuchen Zhang examine why stock return anomalies decay...
Below is a weekly summary of our research findings for 9/30/24 through 10/4/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do changes in the Effective Federal Funds Rate (EFFR), the actual cost of short-term liquidity derived from a combination of market demand and Federal Reserve open market operations designed to maintain the Federal Funds Rate (FFR) target,...
Can machine learning exploit interactions between many equity factors and many potential factor return predictors to create an attractive factor timing strategy? In their August 2024 paper entitled “Optimal Factor Timing in a High-Dimensional Setting”,...
...data from the past 41 years indicate little or no contemporaneous relationship between the equity market and the residential real estate market. There may be a weak, inverse, multi-year relationship between home appreciation and stock...
Below is a weekly summary of our research findings for 9/23/24 through 9/27/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can researchers train machine learning models to mimic top mutual fund managers? In his August 2024 paper entitled “Machine Learning from the Best: Predicting the Holdings of Top Mutual Funds”, Jean-Paul van Brakel seeks to...
The Trading Calendar looks at S&P 500 Index behaviors over the calendar year, finding some consistent patterns. Are there any comparable insights from movements of the U.S. Treasury 10-year constant maturity note (T-note) yield over...
Some experts interpret stock market return volatility as an indicator of investor sentiment, with high (low) volatility indicating ascendancy of fear (greed). Volatility of volatility (VoV) would thus indicate uncertainty in investor sentiment. Does the...
Does an elaborate firm valuation model outperform the blunt instrument of a simple ratio? In their July 2024 paper entitled “Intrinsic Value: A Solution to the Declining Performance of Value Strategies”, Derek Bergen, Francesco Franzoni,...
Below is a weekly summary of our research findings for 9/16/24 through 9/20/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How has the immediate price impact associated with a stock entering or leaving the S&P 500 evolved? In the March 2024 revision of their paper entitled “The Disappearing Index Effect”, Robin Greenwood and Marco Sammon...
Do stock markets following predictable long boom and bust periods? In the August 2024 draft of their paper entitled “The Anatomy of Lost Stock Market Decades”, Todd Feldman and Brian Yang examine the regularity/frequency of...