What happens to mispriced stocks when associated firms issue positive or negative news? In their February 2024 paper entitled “Beauty Contests and Higher Order Beliefs: Evidence from News Releases”, Tarun Chordia, Bin Miao and Joonki...
Below is a weekly summary of our research findings for 3/11/24 through 3/15/24. 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 observed that backtesting of momentum-based trading systems typically assumes perfect rebalancing each month whether or not they select new assets. Would delaying rebalancing until new assets are selected improve strategy performance? To investigate,...
Prior to 2015, we tracked performance of an equity market timing model based on real earnings yield (REY). The Simple Asset Class ETF Value Strategy (SACEVS) subsumed that model in 2015. Earnings yield is aggregate...
Referring to “Substitute QQQ for SPY in SACEVS and SACEMS?” and “Conditionally Substitute SSO for SPY in SACEVS and SACEMS?”, a subscriber requested a horse race for boosting the performance of the Simple Asset Class ETF...
Some exchange-traded funds (ETF) focus on capturing potentially attractive factor premiums or thematic niches. Their histories offer a way to test these concepts live. We have conducted many such tests, listed here to offer a...
Below is a weekly summary of our research findings for 3/4/24 through 3/8/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The inflation rate is a fundamental determinant of the discount rate used to calculate the present value of an asset. Changes in inflation therefore affect asset valuations. Do experts, as polled in the quarterly Survey...
Is an investment strategy that follows trends in economic fundamentals (rather than asset prices) an attractive alternative to conventional momentum? In their January 2024 paper entitled “Economic Trend”, Jordan Brooks, Noah Feilbogen, Yao Hua Ooi...
Throughout each month, the National Federation of Independent Businesses surveys members on ten components of business conditions they anticipate six months hence. They issue findings on the second Tuesday of the following month in “Small Business...
Does iShares 20+ Year Treasury Bond ETF (TLT) exhibit a predictable monthly pattern due to beginning-of-month dividends and mid-month U.S. government consumer and producer inflation releases? To investigate, we calculate average cumulative return for TLT...
Below is a weekly summary of our research findings for 2/26/24 through 3/1/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is ChatGPT useful for predicting stock market returns based on financial news headlines? In the December 2023 version of their paper entitled “ChatGPT, Stock Market Predictability and Links to the Macroeconomy”, Jian Chen, Guohao Tang,...
Can enhanced machine learning models accurately time popular equity factors? In their January 2024 paper entitled “Multi-Factor Timing with Deep Learning”, Paul Cotturo, Fred Liu and Robert Proner explore equity factor timing via a multi-task...
Below is a weekly summary of our research findings for 2/20/24 through 2/23/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do published commodity futures factors exhibit exploitable momentum? In their December 2023 paper entitled “Factor Momentum in Commodity Futures Markets”, Yiyan Qian, Xiaoquan Liu and Ying Jiang examine factor momentum in fully collateralized nearest-rolled contracts...
Can ChatGPT find red flags in firm earnings calls? In their January 2024 paper entitled “Unusual Financial Communication – Evidence from ChatGPT, Earnings Calls, and the Stock Market”, Lars Beckmann, Heiner Beckmeyer, Ilias Filippou, Stefan...
Can machine learning models pick stocks that unequivocally generate alpha out-of-sample? In their November 2023 paper entitled “The Expected Returns on Machine-Learning Strategies”, Vitor Azevedo, Christopher Hoegner and Mihail Velikov assess expected net returns and...
Below is a weekly summary of our research findings for 2/12/24 through 2/16/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Given wide bid-ask spreads, do retail option traders systematically bear large losses? In their January 2024 paper entitled “An Anatomy of Retail Option Trading”, Vincent Bogousslavsky and Dmitriy Muravyev characterize retail option trading in the U.S....
Can explainable artificial intelligence (AI) bridge the gap between complex machine learning predictions and economically meaningful interpretations? In their December 2023 paper entitled “Empirical Asset Pricing Using Explainable Artificial Intelligence”, Umit Demirbaga and Yue Xu...
Below is a weekly summary of our research findings for 2/5/24 through 2/9/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Which comes first, adjustments in U.S. Treasuries yields across the term structure, or government announcement of new U.S. inflation data? To investigate, we relate monthly changes in yields for 1-year, 2-year, 3-year, 5-year, 7-year, 10-year,...
Can causal discovery algorithms (which look beyond simple statistical association, and instead consider all available data and allow for lead-lag relationships) make economically meaningful contributions to equity investing? In their December 2023 paper entitled “Causal...
Does the Fama-French 5-factor model of stock returns stand up to causality analyses? Do the factors cause the returns? In their December 2023 paper entitled “Re-Examination of Fama-French Factor Investing with Causal Inference Method”, Lingyi...