Investing Research Articles

Below is a weekly summary of our research findings for 3/28/22 through 4/1/22. 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.

A subscriber suggested comparing intrinsic momentum (IM), also called absolute momentum and time series momentum, to simple moving average (SMA) as alternative signals for equity market entry and exit. To investigate across a wide variety of economic and market conditions, we measure the long run performances of entry and exit signals from IMs over past… Keep Reading

Do often frenzied investors/traders tend to overdo buying and selling, coming to their senses shortly thereafter? In other words, does the broad U.S. stock market tend to revert after short-term moves up or down? To check, we relate sequential past and future return intervals of 1, 2, 3, 5, 10, 15 and 21 trading days…. Keep Reading

Does the U.S. stock market reliably exhibit extreme behavior on days (mid-afternoon) when the Federal Open Market Committee (FOMC) of the Federal Reserve Board issues its meeting minutes? Might the minutes be systematically encouraging, discouraging, calming or exciting? Using release dates for these minutes and contemporaneous daily open, high, low and close levels of the S&P 500… Keep Reading

Are there anomalies for U.S. stock market returns around equity option expiration (OE) days (normally the third Friday of each month, but the preceding Thursday when the market is closed on the third Friday)? To investigate, we examine close-to-close S&P 500 Index returns from five trading days before through five trading days after a moderately… Keep Reading

Below is a weekly summary of our research findings for 3/21/22 through 3/25/22. 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 should the variability of stock market returns shape the outlooks of short-term traders and long-term investors? How strong is the tailwind of the general drift upward in stock prices? How powerful is the turbulence of variability? Does the tailwind ever overcome the turbulence? To investigate we consider all holding periods for the S&P 500… Keep Reading

Which of the explanations offered in past research best explains, and potentially justifies belief in persistence of, stock return momentum? In the February 2022 revision of their paper entitled “What Explains Momentum? A Perspective From International Data”, Amit Goyal, Narasimhan Jegadeesh and Avanidhar Subrahmanyam test alternative explanations for momentum as hypothesized in earlier studies on… Keep Reading

“SACEMS with Momentum Breadth Crash Protection” evaluates in depth the potential of a simple momentum breadth rule to improve performance of the Simple Asset Class ETF Momentum Strategy (SACEMS). This rule forces the model to all cash when fewer than some threshold of the non-cash SACEMS assets have positive returns over a specified lookback interval…. Keep Reading

How are behaviors of physically backed gold and gold miner exchange-traded funds (ETF) similar and different? To investigate we consider each of VanExk Vectors Gold Miners (GDX) and VanEck Vectors Junior Gold Miners (GDXJ) versus SPDR Gold Shares (GLD). Using daily returns for GDX since May 2006 and GDXJ since November 2009, and contemporaneous daily returns… Keep Reading