Investing Research Articles

A subscriber noted and asked: “Michigan (at one point) claimed that the inflation expectations part of their survey of consumers was predictive. That was from a paper long ago. I wonder if it is still...

In response to “Money Supply (M2) and the Stock Market”, a subscriber commented: “I’ve always thought…that both M2 and velocity were needed. If there’s more money, but it is not circulating, then it doesn’t have...

in response to “Money Supply (M2) and the Stock Market”, A reader commented: “M2 cannot be an accurate money supply measure because it includes non-cash investments such as money market mutual funds. When the stock...

Below is a weekly summary of our research findings for 5/28/24 through 5/31/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Some investing experts cite change in money supply as a potentially important driver of future stock market behavior. When money supply grows (shrinks), they theorize, nominal asset prices tend to go up (down). Or conversely,...

Is intraday time series momentum of a very liquid exchange-traded fund (ETF) such as SPDR S&P 500 ETF Trust (SPY) exploitable? In their May 2024 paper entitled “Beat the Market: An Effective Intraday Momentum Strategy...

How should investors think about the correlation between stock market returns and bond market returns when constructing a diversified portfolio? In their April 2024 paper entitled “Stock-Bond Correlation: Theory & Empirical Results”, Lorenzo Portelli and...

Below is a weekly summary of our research findings for 5/20/24 through 5/24/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Is the price of gold too high? In their May 2024 paper entitled “Is There Still a Golden Dilemma?”, Claude Erb and Campbell Harvey revisit their golden dilemma, the tug of war between dueling ideas:...

After seeing “Review of the Quantified Market Psychology Strategy”, reader Steve Ruoff requested review of his U.S. Treasuries timing strategy as recorded at Timertrac (Duration Strategy), which approximately every four weeks generates allocations to: Direxion Daily...

Below is a weekly summary of our research findings for 5/13/24 through 5/17/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

What does the body of research say about implications of new social media for financial markets? In their April 2024 paper entitled “Social Media and Finance”, Anthony Cookson, William Mullins and Marina Niessner survey research...

Does Federal Reserve (Fed) policy strongly and differently affect individual stock? In his April 2024 paper entitled “Navigating Federal Reserve Policy with IFED”, Rufus Rankin analyzes performance of the Invest With the Fed (IFED) stock...

Below is a weekly summary of our research findings for 5/6/24 through 5/10/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

How well do simple option strategies work when applied to equity and bond exchange-traded funds (ETF)? In his April 2024 paper entitled “Effectiveness of Various Options Strategies for Exchange-Traded Funds“, Rishikesh Mahadevan tests five simple...

Can large language models like ChatGPT work with numbers to support technical analysis of stock returns rather than just words to support sentiment analysis? In his April 2024 paper entitled “StockGPT: A GenAI Model for...

Are there predictable dollar exchange rate trends according to which U.S. political party is in power? In their March 2024 paper entitled “Presidential Cycles and Exchange Rates”, Pasquale Della Corte and Hsuan Fu investigate whether...

Is shorting leveraged exchange-traded funds (LETF) reliably attractive? In their March 2024 paper entitled “Investigating Long-Term Short Pairing Strategies for Leveraged Exchange-Traded Funds Using Machine Learning Techniques”, Hamed Khadivar, Elaheh Nikbakht and Thomas Walker test...

Do widely used associational (rather than causal) methods used by researchers to specify factor models of asset returns work? In their March 2024 paper entitled “The Case for Causal Factor Investing”, Marcos Lopez de Prado,...

Below is a weekly summary of our research findings for 4/29/24 through 5/3/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Does combining widely used measures of equity market stress with news sentiment as interpreted by large language models such as ChatGPT support a robust risk-on/risk-off market timing strategy? In their April 2024 paper entitled “Stress...

Can ChatGPT extract market sentiment from financial news that is useful for timing equity markets? In their April 2024 paper entitled “Sentiment Analysis of Bloomberg Markets Wrap Using ChatGPT: Application to the NASDAQ”, Baptiste Lefort,...

Do SEC Form 13F-based clones of hedge fund/institutional managers (funds) reliably match fund performances? In their March 2024 paper entitled “Outperforming the Market: Portfolio Strategy Cloning from SEC 13F Filings”, Jan Schroeder and Peter Posch...

Do short-selling hedge funds consistently extract alpha from exuberant retail traders? In their March 2024 paper entitled “Short-Selling Hedge Funds”, Jialin Qian, Zhen Shi and Baozhong Yang examine the performance of hedge funds engaged in...

Can long volatility investors improve performance of their portfolios by scaling positions inversely to some measure of volatility? In his March 2024 paper entitled “Volatility-Managed Volatility Trading”, Aoxiang Yang tests volatility risk premium (VRP) timing...