Investing Research Articles

In response to “Measuring the Size Effect with Capitalization-based ETFs” and in view of the research summarized in “Quality-enhanced Size Effect”, a subscriber suggested using either iShares Core S&P Small-Cap ETF (IJR) or Vanguard S&P Small-Cap 600 Index Fund (VIOO) in place of iShares Russell 2000 ETF (IWM) as a proxy for small stocks. The… Keep Reading

Below is a weekly summary of our research findings for 4/8/24 through 4/12/24. 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.

Does pricing of options on leveraged exchange-traded funds (ETF) predict future returns of the underlying 1X ETFs? In the March 2024 version of their paper entitled “Lever Up! An Analysis of Options Trading in Leveraged ETFs”, Collin Gilstrap, Alex Petkevich, Pavel Teterin and Kainan Wang examine options trading in leveraged equity ETFs and its implications… Keep Reading

Is momentum better measured by a granular fitted line or beginning-to-end return? In their March 2024 paper entitled “Trended Momentum”, Charlie Cai, Peng Li and Kevin Keasey investigate use of an analytically/visually clear linear stock price trend to enhance conventional momentum. They measure price trend clarity (TC) as R-squared for a regression of daily price… Keep Reading

Can investors beat a traditional 60%-40% stocks-bonds portfolio by adjusting allocations based on the earnings yield of stocks and the current yield of government bonds? In his March 2024 paper entitled “A Yield-based Asset Ratio to Boost Minimum Investment Returns”, Arthur Eschenlauer tests a strategy that allocates to the S&P 500 Index or 10-year U.S…. Keep Reading

Can artificial intelligence platforms such as ChatGPT be good stock day traders? In his March 2024 paper entitled “Can ChatGPT Generate Stock Tickers to Buy and Sell for Day Trading?”, Sangheum Cho tests whether ChatGPT 3.5 turbo supports profitable day trading. He instructs ChatGPT to pretend to be a professional day trader who picks from… Keep Reading

Below is a weekly summary of our research findings for 4/1/24 through 4/5/24. 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.

Can investors reliably capture illiquidity-driven stock price noise, short-term deviations in price from some measurable fair value? In their February 2024 paper entitled “Intraday Residual Reversal in the U.S. Stock Market”, Jonathan Brogaard, Jaehee Han and Hanjun Kim investigate returns to a strategy that exploits reversals of short-lived noise in stock prices by buying (selling)… Keep Reading

Can holders of popular large-capitalization stocks improve portfolio performance by systematically buying or selling options on these stocks? In their February 2024 paper entitled “The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks from 2004 to 2019”, Zhuo Li and Thomas Miller, Jr. compare to buy-and-hold the performances of four strategies that augment a… Keep Reading

Can day traders get rich with an Opening Range Breakout (ORB) strategy that buys (sells) unusually active stocks with positive (negative) opens that break out to new highs (lows) during the first five minutes of the trading day? In their February 2024 paper entitled “A Profitable Day Trading Strategy For The U.S. Equity Market”, Carlo… Keep Reading