Investing Research Articles

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

Some experts argue that high (low) gasoline prices mean that consumers must allocate more (less) spending power to fuel, and therefore less (more) to other industries and stocks. Do data support this argument? To check, we relate U.S. stock market returns to changes in U.S. gasoline price changes. Using weekly average retail prices for regular gasoline in… Keep Reading

Below is a weekly summary of our research findings for 3/14/22 through 3/18/22. 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.

Does the overnight return effect found pervasively among equity markets, as summarized in “Persistence of Overnight/Intraday Equity Market Return Patterns”, also hold for other asset classes? To investigate, we compare open-to-close (O-C) and close-to-open (C-O) average returns, standard deviations of returns and cumulative performances for the exchange-traded funds (ETF) used as asset class proxies in… Keep Reading

With reference to “Turn-of-the-Month Effect Persistence and Robustness” and “Persistence of Overnight/Intraday Equity Market Return Patterns”, a subscriber asked about a strategy that is long SPDR S&P 500 ETF Trust (SPY) only from market close to market open during the turn-of-the-month (TOTM). To investigate, we consider three strategies: TOTM Close-to-Open: long SPY from close-to-open during… Keep Reading

A subscriber asked which asset (short stocks, cash, bonds by subclass) is best to hold during equity bear markets. To investigate, we consider two ways to define a bear market: (1) months when SPDR S&P 500 (SPY) is below its 10-month simple moving average (SMA10) at the end of the prior month; and, (2) months… Keep Reading

…long-run data offers stronger evidence for a stock market model based on the real earnings yield than for a model that compares the earnings yield to the long-term bond yield. It also suggests: (1) a substantial structural break in the relationship between earnings yield and inflation about 1960; and, (2) the possibility of using real earnings yield variability in estimating an expected real earnings yield.