Investing Research Articles

Data snooping bias entails the capture of noise in a dataset that is lucky with respect to a research goal, such as high Sharpe ratio for an investment/trading strategy. Snooping may involve discovery via multiple tests of a lucky subsample in a time series, a lucky parameter value in a model or a lucky alternative… Keep Reading

Can large language models (LLMs) create financial research? In their December 2024 paper entitled “AI-Powered (Finance) Scholarship”, Robert Novy-Marx and Mihail Velikov describe a process for automatically generating academic finance papers using LLMs and demonstrates its efficacy by producing hundreds of complete papers on stock return predictability. Specifically, they: Identify 31,460 potential stock return predictors… Keep Reading

Are there “trigger” words in risk sections of annual U.S. firm 10-K reports that materially influence buying and selling of associated stocks? In his December 2024 paper entitled “Risky Words and Returns”, Sina Seyfi tests a way to predict stock returns by analyzing the text of risk disclosures in respective firm 10-K reports. Specifically, he… Keep Reading

Should investors expect end-of-day rebounds in intraday loser stocks? In their November 2024 paper entitled “End-of-Day Reversal”, Amar Soebhag, Guido Baltussen and Zhi Da investigate intraday return reversal among individual stocks during the last 30 minutes of the trading day. They segment the 24-hour close-to-close trading day into: (1) overnight (close to open); (2) first… Keep Reading

Below is a weekly summary of our research findings for 12/30/24 through 1/3/25. 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.

Experimental (researcher-imagined) asset markets provide a controlled environment for testing hypotheses about investor behaviors. Do limits on abilities of researchers to model markets realistically, and researcher incentives/motivations, jeopardize the credibility of associated studies? In their December 2024 paper entitled “Do Experimental Asset Market Results Replicate? High-powered Preregistered Replications of 17 Claims”, Christoph Huber, Felix Holzmeister,… Keep Reading

How can investors best apply the available array of Large Language Models (LLM) in quantitative strategy development? In his December 2024 paper entitled “The LLM Quant Revolution: From ChatGPT to Wall Street”, William Mann summarizes the use of LLMs in quantitative finance, focusing on: the current state of LLM technology in financial applications; comparison of… Keep Reading

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy. SACEMS first and second places this month are so close that post-close ETF price adjustments could affect them…. Keep Reading

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for January 2025. SACEMS rankings are close and could change by the close, especially third place. SACEVS allocations are unlikely to change by the early close.

How well have popular stock screens worked over the long term and since 2000? In their December 2024 paper entitled “Formula Investing”, Marcel Schwartz and Matthias Hanauer test four popular stock screening formulas with a common portfolio framework over a long period. These formulas focus on certain firm/stock characteristics, implicitly or explicitly translating stock market… Keep Reading