Investing Research Articles

Does Bitcoin behave like some other asset class? To investigate, we use the easily held, liquid and matched-close Grayscale Bitcoin Trust (GBTC) as a proxy for Bitcoin holdings and calculate daily and monthly return correlations between GBTC and each of 35 exchange-traded products encompassing those used in “Simple Asset Class ETF Momentum Strategy ” (SACEMS),… Keep Reading

Do options of individual stocks exhibit momentum and seasonality patterns? In their November 2020 paper entitled “Momentum, Reversal, and Seasonality in Option Returns”, Christopher Jones, Mehdi Khorram and Haitao Mo investigate momentum and seasonality effects for options on U.S. common stocks. They focus on performance of straddles, combining a put and a call with the… Keep Reading

Is the currency carry trade, as implemented by exchange-traded funds/notes (ETF/ETN), attractive? To investigate, we consider two currency carry trade ETF/ETNs, one live (with low trading volume) and one dead: PowerShares DB G10 Currency Harvest Fund (DBV) – tracks changes in the Deutsche Bank G10 Currency Future Harvest Index. This index consists of futures contracts… Keep Reading

Below is a weekly summary of our research findings for 11/30/20 through 12/4/20. 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.

Do stocks with high borrowing costs (loan fees) exhibit predictably low short-term returns? In their November 2020 paper entitled “Borrowing Fees and Expected Stock Returns”, Kaitlin Hendrix and Gavin Crabb explore whether stock loan fees contain reliable and useful information about short-term stock returns worldwide. To isolate borrowing activity most likely related to short selling,… Keep Reading

Does crude oil (an important part of commodity indexes) exhibit an exploitable price seasonality? To check, we examine three monthly series: Spot prices for West Texas Intermediate (WTI) Cushing, Oklahoma crude oil since the beginning of 1986 (34+ years). Nearest expiration futures prices for crude oil since April 1983 (37+ years). Prices for United States… Keep Reading

How connected are principal measures of U.S. economic activity and U.S. stock market performance? In their October 2020 paper entitled “Has the Stock Market Become Less Representative of the Economy?”, Frederik Schlingemann and René Stulz model and measure relationships between market capitalizations of U.S. publicly listed firms and their contributions to U.S. employment and Gross… Keep Reading

Below is a weekly summary of our research findings for 11/23/20 through 11/27/20. 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 are attitudes toward Bitcoin as an investment evolving? In their October 2020 survey report entitled “Comparing Public Bitcoin Adoption Rates in 2020 vs 2017”, the Tokenist summarizes findings from a survey using the same questions as three of the most widely cited past surveys on Bitcoin adoption from October 2017, July 2018 and April… Keep Reading

Do differences in equity sector responses to stock market crashes (and associated volatility spikes) support an exploitably attractive sector rotation strategy? In the November 2020 update of his paper entitled “Actively Using Passive Sectors to Generate Alpha Using the VIX”, Michael Gayed examines a cyclical-defensive sector rotation strategy using the level of the CBOE S&P… Keep Reading