Investing Research Articles

Do linear factor model specification choices inherently produce out-of-sample underperformance of investment strategies seeking to exploit factor premiums? In their January 2024 paper entitled “Why Has Factor Investing Failed?: The Role of Specification Errors”, Marcos Lopez de Prado and Vincent Zoonekynd examine whether standard practices induce factor specification errors and how such errors might explain… Keep Reading

Do Federal Funds Rate (FFR) actions taken by the Federal Reserve open market operations committee reliably predict stock market and U.S. Treasuries yield reactions? To investigate, we use the S&P 500 Index (SP500) as a proxy for the stock market and the yield for the 10-Year U.S. Constant Maturity Treasury note (T-note). We look at index… Keep Reading

A subscriber asked whether more granularity in international equity choices for the “Simple Asset Class ETF Momentum Strategy” (SACEMS), such as considered by Decision Moose, would improve performance. To investigate, we augment/replace international developed and emerging equity market exchange-traded funds (ETF) such that the universe of assets becomes: SPDR S&P 500 (SPY) iShares Russell 2000 Index (IWM) iShares… Keep Reading

Does publication of academic studies on stock return anomalies in the U.S. tend to extinguish these anomalies in global markets? In their November 2023 paper entitled “Does U.S. Academic Research Destroy the Predictability of Global Stock Returns?”, Guohao Tang, Yuwei Xie and Lin Zhu compare out-of-sample (post-research sample) and post-publication global returns to research-sample global… Keep Reading

Below is a weekly summary of our research findings for 1/22/24 through 1/26/24. 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.

How might Large Language Models (LLM), trained to understand, generate and interact with human language via billions or trillions of tuned parameters, impact accounting and finance? In their December 2023 paper entitled “A Scoping Review of ChatGPT Research in Accounting and Finance”, Mengming Dong, Theophanis Stratopoulos and Victor Wang synthesize recent publications and working papers… Keep Reading

“Turn-of-the-Month Effect Persistence and Robustness” indicates that average absolute returns during the turn-of-the-month (TOTM) are strong for both bull and bear markets. Does a strategy of capturing all bull market returns and TOTM returns only during bear markets perform well? To investigate, we apply four strategies to SPDR S&P 500 ETF Trust (SPY) as a… Keep Reading

Is the Turn-of-the-Month (TOTM) effect, a concentration of relatively strong stock market returns around the turns of calendar months, persistent over time and robust to different market conditions. Does it exist for all calendar months? Does it persist throughout the U.S. political cycle? Does it work for different equity indexes? To investigate, we define TOTM… Keep Reading

Below is a weekly summary of our research findings for 1/16/24 through 1/19/24. 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 long term data support the belief that “as goes January, so goes the rest of the year” (January is the barometer) for the the U.S. stock market? To investigate, we consider two views of the S&P 500 Index over its full history: Correlations between index returns during each calendar month and returns over the… Keep Reading