Investing Research Articles

How do incentives distort research on financial markets, and how do incentivized researchers introduce the distortions? In his April 2022 paper entitled “The Pitfalls of Asset Management Research”, Campbell Harvey explores how economic incentives affect findings in both academic and practitioner research on financial markets, including evidence of distortion. Based on his 35 years as… Keep Reading

Should investors expect materially different returns for stocks accepted or excluded by institutional investors based on firm environmental, social and corporate governance (ESG) policies and practices? In their April 2022 paper entitled “The Expected Returns of ESG Excluded Stocks. The Case of Exclusions from Norway’s Oil Fund”, Erika Berle, Wangwei He and Bernt Ødegaard analyze… Keep Reading

A subscriber asked which exchange-traded fund (ETF) asset class proxies make the best safe havens for the U.S. stock market as proxied by the S&P 500 Index. To investigate, we test 15 ETFs/funds as potential safe havens: Utilities Select Sector SPDR Fund (XLU) iShares 20+ Year Treasury Bond (TLT) iShares 7-10 Year Treasury Bond (IEF)… Keep Reading

Below is a weekly summary of our research findings for 5/16/22 through 5/20/22. 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.

Is the Buffett Indicator, the ratio of total stock market capitalization to Gross Domestic Product (GDP), a useful indicator of future stock market performance internationally? In their March 2022 paper entitled “The Buffett Indicator: International Evidence”, Laurens Swinkels and Thomas Umlauft extend Buffett Indicator research from the U.S. to 14 international equity markets. Because the value… Keep Reading

Do intraday (open-to-close, trading-driven/technical) and overnight (close-to-open, news-driven) stock returns play different roles in signaling short-term reversal, intermediate-term momentum and long-term reversion? In their March 2022 paper entitled “What Drives Momentum and Reversal? Evidence from Day and Night Signals”, Yashar Barardehi, Vincent Bogousslavsky and Dmitriy Muravyev investigate by relating past cumulative daily, intraday and dividend-adjusted… Keep Reading

Below is a weekly summary of our research findings for 5/9/22 through 5/13/22. 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 proposed substituting SPDR S&P Global Natural Resources ETF (GNR) for Invesco DB Commodity Index Tracking Fund (DBC) as a proxy for commodities in the Simple Asset Class ETF Momentum Strategy (SACEMS). GNR holds stocks of relatively large firms engaged in natural resources and commodities businesses. DBC holds a range of commodity futures contracts…. Keep Reading

Are there short-term patterns in bitcoin returns? In their April 2022 paper entitled “Seasonality, Trend-following, and Mean Reversion in Bitcoin”, Matus Padysak and Radovan Vojtko explore short-term bitcoin return behaviors. They look at: Daily patterns with respect to NYSE trading hours, defining intraday return as 10:00-16:00, overnight return as 16:00-10:00 and daily return as 1600-16:00… Keep Reading

Can investors improve the performance of stock momentum portfolios by isolating stocks that “hold” their momentum? In their April 2022 paper entitled “Enduring Momentum”, Hui Zeng, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti exploit firm characteristics to identify stocks that continue to be winners or losers after selection as momentum stocks (stocks with enduring momentum)…. Keep Reading