Investing Research Articles

Morningstar finds in “Mind the Gap” that poor timing of trades by mutual fund investors results in 1.7% annual underperformance of buy-and-hold (6.0% versus 7.7%) during 2013 through 2022. Is this finding correct? In the July 2024 draft of their paper entitled “Bad Timing Does Not Cost Investors One Fifth of Their Funds’ Returns: An… Keep Reading

Below is a weekly summary of our research findings for 8/19/24 through 8/23/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Is the CNN Fear and Greed Index useful for predicting asset returns? In the July 2024 draft of their paper entitled “The CNN Fear and Greed Index as a Predictor of Us Equity Index Returns”, flagged by a subscriber, Hugh Farrell and Fergal O’Connor use regressions of hand-collected data to investigate whether the index reliably… Keep Reading

Is stock price-to-earnings ratio (P/E), in aggregate or by individual stock, truly predictive of returns? In their April 2024 paper entitled “Valuing Stocks With Earnings”, Sebastian Hillenbrand and Odhrain McCarthy examine relationships between P/E and future returns at both stock index and individual stock levels. They compare generally accepted accounting principles (GAAP) earnings and an… Keep Reading

Below is a weekly summary of our research findings for 8/12/24 through 8/16/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Can investors manage cryptocurrency volatility risk with simple trend following rules? In their August 2024 paper entitled “Trend-following Strategies for Crypto Investors”, Trinh Hue Le and Ummul Ruthbah test simple trend following rules on Bitcoin (BTC), Ether (ETH) and the S&P Cryptocurrency LargeCap-Ex. MegaCap Index. Specifically, they hold the cryptocurrency (cash) when its price is… Keep Reading

Do analysts systematically ignore the connection between future firm earnings and current economic conditions? In their July 2024 paper entitled “Predicting Analysts’ S&P 500 Earnings Forecast Errors and Stock Market Returns Using Macroeconomic Data and Nowcasts”, Steven Sharpe and Antonio Gil de Rubio Cruz examine the quality of bottom-up forecasts of near-term S&P 500 earnings… Keep Reading

Below is a weekly summary of our research findings for 8/5/24 through 8/9/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Has ease of access to, and processing of, firm accounting data suppressed stock anomalies by leveling the information playing field? In their July 2024 paper entitled “The Effect of New Information Technologies on Asset Pricing Anomalies”, David Hirshleifer and Liang Ma test the effects of mandating Electronic Data Gathering, Analysis and Retrieval (EDGAR) during April… Keep Reading

What are the best ways to apply backtesting in the development of investment strategies? In their July 2024 paper entitled “The Three Types of Backtests”, Jacques Joubert, Dragan Sestovic, Illya Barziy, Walter Distaso and Marcos Lopez de Prado offer guidance on backtesting best practices by reviewing: Strengths and weaknesses of the three main types of… Keep Reading