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...
A subscriber asked for corroboration of a claim that the “Best Companies To Work For” (BCTWF) substantially beat the overall stock market. To investigate, we: Compile the employee survey-based top 10 BCTWF winners for 2014...
Below is a weekly summary of our research findings for 9/9/24 through 9/13/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How does the performance of the global multi-class market look when evaluated at a monthly frequency? In their August 2024 paper entitled “The Risk and Reward of Investing”, Ronald Doeswijk and Laurens Swinkels assess global...
Can pattern recognition software, combined with news sentiment, identify profitable short-term stock trades? In their July 2024 paper entitled “Technical Patterns and News Sentiment in Stock Markets”, Markus Leippold, Qian Wang and Min Yang test...
Below is a weekly summary of our research findings for 9/3/24 through 9/6/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber requested measurement of a “premium” associated with stocks of innovative technology firms by looking at the difference in returns between the following two exchange-traded funds (ETF): Invesco QQQ Trust (QQQ), which generally tracks...
Are large and sophisticated investors (whales) better than small retail investors (minnows) at timing established crypto-asset markets? In their August 2024 paper entitled “Beneath the Crypto Currents: The Hidden Effect of Crypto ‘Whales'”, Alan Chernoff...
Does the combination of an artificial intelligence (AI)-generated financial news sentiment with a complex financial stress metric generate good stock market timing signals? In their April 2024 paper entitled “Mixing Financial Stress with GPT-4 News...
Below is a weekly summary of our research findings for 8/26/24 through 8/30/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How do crypto-asset prices interact with conventional market risks, monetary policy and crypto-specific factors? In their July 2024 paper entitled “What Drives Crypto Asset Prices?”, Austin Adams, Markus Ibert and Gordon Liao investigate factors influencing...
“CNN Fear and Greed Index as Return Predictor” reports findings from a draft study that the CNN Fear and Greed Index (F&G) may be useful for U.S. stock index timing. The authors of that paper...
Morningstar finds in “Mind the Gap” that poor timing of trades by mutual fund investors results in 1.7% annual underperformance of buy-and-hold (6.0% versus 7.7%) during 2013 through 2022. Is this finding correct? In the...