Investing Research Articles

Robert Carver introduces his 2015 book, Systematic Trading: A Unique New Method for Designing Trading and Investing Systems, by stating that: “I don’t believe there is any magic system that will automatically make you huge profits, and you should be wary of anyone who says otherwise, especially if they want to sell it to you. Instead, success in systematic… Keep Reading

What drives the profitability of algorithmic long-short statistical arbitrage trading (such as pairs trading) of liquid U.S. stocks? In their September 2015 paper entitled “Performance v. Turnover: A Story by 4,000 Alphas”, Zura Kakushadze and Igor Tulchinsky examine portfolio turnover and portfolio volatility as potential net return drivers for such trading. Their data source is 4,002 randomly… Keep Reading

Is an art collection a good investment? In the August 2015 version of their paper entitled “Art as an Asset and Keynes the Collector”, David Chambers, Elroy Dimson and Christophe Spaenjers study the performance of an actual buy-and-hold art portfolio, the collection of economist John Maynard Keynes. “Keynes purchased artworks through various channels between 1917 and 1945,… Keep Reading

What are the principal themes of research on hedge funds published in top journals over the past decade? In their August 2015 paper entitled “Hedge Funds: A Survey of the Academic Literature”, Vikas Agarwal, Kevin Mullally and Narayan Naik summarize 121 papers on hedge funds and commodity trading advisors from four leading finance journals. They focus on the… Keep Reading

Are there exploitable size and momentum effects among international stocks? In their August 2015 paper entitled “Size and Momentum Profitability in International Stock Markets”, Peter Schmidt, Urs Von Arx, Andreas Schrimpf, Alexander Wagner and Andreas Ziegler examine the size effect and the interplay between size and momentum strategies via long-short stock portfolios in 23 countries. They measure stock size as… Keep Reading

Does simple technical analysis based on moving averages work on high-frequency spot gold and silver trading? In their August 2015 paper entitled “Does Technical Analysis Beat the Market? – Evidence from High Frequency Trading in Gold and Silver”, Andrew Urquhart, Jonathan Batten, Brian Lucey, Frank McGroarty and Maurice Peat examine the profitability of 5-minute moving average technical analysis in the gold and… Keep Reading

Does a stock momentum strategy selecting only persistent winners and losers work better than a conventional strategy that includes one-month wonders? In their August 2015 paper entitled “Persistency of the Momentum Effect: The Role of Consistent Winners and Losers”, Hong-Yi Chen, Pin-Huang Chou and Chia-Hsun Hsieh examine stock momentum persistence as a condition for momentum portfolio construction. They define the momentum… Keep Reading

Are readily available crowdsourced firm earnings estimates and stock sentiment measurements exploitable? In the September 2015 revision of their paper entitled “Tweet Sentiments and Crowd-Sourced Earnings Estimates as Valuable Sources of Information Around Earnings Releases”, Jim Kyung-Soo Liew,  Shenghan Guo and Tongli Zhang investigate whether earnings estimates from Estimize and sentiment measurements from iSentium usefully predict stock behavior after earnings announcements. Estimize aggregates inputs… Keep Reading

How can investors best exploit research showing that low-beta (high-beta) stocks tend to outperform (underperform)? In their August 2015 paper entitled “Low-Beta Investment Strategies”, Olaf Kornz and Laura-Chloe Kuntz test 32 “zero-cost” (long-short) strategies designed to exploit the beta anomaly as applied to S&P 500 stocks. The strategies derive from three choices: (1) length of the rolling window used… Keep Reading

Are expert technicians or fundamentalists better forecasters of short-term and intermediate-term asset returns? In the August 2015 version of their paper entitled “Talking Numbers: Technical versus Fundamental Recommendations”, Doron Avramov, Guy Kaplanski and Haim Levy assess the economic value of dual technical and fundamental recommendations presented simultaneously on “Talking Numbers”, a CNBC and Yahoo joint broadcast… “featuring fundamental and… Keep Reading