Investing Research Articles

Should measures of long-term investment performance incorporate ways in which typical individual investors handle their portfolios over a lifetime rather than an idealized perspective such as buy-and-hold with all distributions reinvested? In his December 2025 paper entitled “Measuring Investor Outcomes”, Hendrik Bessembinder argues that investment performance measures should be realistic and discusses alternative measures of… Keep Reading

How should researchers apply and restrict artificial intelligence (AI) in research? In the December 2025 revision of their editorial entitled “The Use of AI in Academic Research”, Gordon Graham and Jennifer Tucker share experiences as accounting journal editors in dealing with this question. They review the meaning and capabilities of AI. They address the extent… Keep Reading

Below is a weekly summary of our research findings for 12/15/25 through 12/19/25. 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 Grok extract a useful weekly U.S. stock market sentiment metric from posts on X? To investigate, we ask Grok to each week for two years aggregate weekly U.S. stock market sentiment looking for at least 50 posts per week (ending Saturdays) and weighting each post sentiment according to its audience engagement (influence). For example,… Keep Reading

How sensitive is performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS) to choice of momentum calculation lookback interval, and what interval works best? To investigate, we generate gross compound annual growth rates (CAGR) and maximum drawdowns (MaxDD) for SACEMS Top 1, equally weighted (EW) EW Top 2 and EW Top 3 portfolios over lookback… Keep Reading

Does the Christmas holiday, a time of putative good will toward all, give U.S. stock investors a sense of optimism that translates into stock returns? To investigate, we analyze the historical behavior of the S&P 500 Index during five trading days before through five trading days after the holiday. Using daily closing levels of the… Keep Reading

How can typical investors/managers rigorously translate their views on factor/style and sector/theme exposures into a portfolio of exchange-traded funds (ETF). In their November 2025 paper entitled “Implementing Systematic Risk Premia, Factor-Based Strategies, and Sector Rotation with ETFs”, Nino Antulov-Fantulin, Petter Kolm and Mario Šikic describe a methodology for constructing systematic, long-only investment strategies for family… Keep Reading

Does lack of liquidity among stocks in anomaly portfolios effectively block exploitation? In their November 2025 paper entitled “Liquidity Constraints and the Illusion of Anomaly Profitability”, Álvaro Cartea, Mihai Cucuringu, Qi Jin and Jiexiu Zhu assess exploitability of anomaly trading strategies after accounting for individual stock liquidities. They define liquidity of a stock as its… Keep Reading

Below is a weekly summary of our research findings for 12/8/25 through 12/12/25. 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.

Is U.S. equity market valuation outrunning its productive value? For perspective, we compare the trajectories of S&P 500 (SP500) index, earnings and dividends over recent decades and look at some potential explanations for divergences. Using quarterly SP500 data and 10-year U.S. Treasury note (T-note) yield during March 1988 through September 2025 and Shiller data as… Keep Reading