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Value Allocations for September 2019 (Final)
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Momentum Allocations for September 2019 (Final)
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Timely Firms Have Higher Returns?

Do long lags between end of firm quarterly and annual financial reporting periods and issuance of SEC-required financial reports (10-Q and 10-K) indicate internal firm inefficiencies and/or reluctance to disclose adverse performance? In their August 2019 paper entitled “Filing, Fast and Slow: Reporting Lag and Stock Returns”, Karim Bannouh, Derek Geng and Bas Peeters study Keep Reading

Stock Momentum Strategy Risk Management Horse Race

What is the best risk management approach for a conventional stock momentum strategy? In their August 2019 paper entitled “Enhanced Momentum Strategies”, Matthias Hanauer and Steffen Windmueller compare performances of several stock momentum strategy risk management approaches proposed in prior research. They use the momentum factor, returns to a monthly reformed long-short portfolio that integrates Keep Reading

Term Premium End-of-Month Effect

Does the term premium as measured by returns to zero-coupon U.S. Treasury notes (T-notes) concentrate during some part of the monthly cycle? In their August 2019 paper entitled “Predictable End-of-Month Treasury Returns”, Jonathan Hartley and Krista Schwarz examine the monthly cycle of excess returns on 2-year, 5-year and 10-year T-notes. Specifically, they calculate average excess Keep Reading

Weekly Summary of Research Findings: 9/9/19 – 9/13/19

Below is a weekly summary of our research findings for 9/9/19 through 9/13/19. 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.

European Stock Return Predictors

Can investors effectively use firm characteristics to screen European stocks? In their August 2019 paper entitled “Predictability and the Cross-Section of Expected Returns: Evidence from the European Stock Market”, Wolfgang Drobetz, Rebekka Haller, Christian Jasperneite and Tizian Otto examine the power of 22 firm characteristics to predict stock returns individually and jointly. They assume market-based Keep Reading

Inflation Forecast Update

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for August 2019. The actual total (core) inflation rate for August is lower (higher than) forecasted.

Asset Class ETF Interactions with the Yen

How do different asset classes interact with the Japanese yen-U.S. dollar exchange rate? To investigate, we consider relationships between Invesco CurrencyShares Japanese Yen (FXY) and the exchange-traded fund (ETF) asset class proxies used in “Simple Asset Class ETF Momentum Strategy” (SACEMS) at a monthly measurement frequency. Using monthly dividend-adjusted closing prices for FXY and the asset Keep Reading

Evaluating Country Investment Risk

How should global investors assess country sovereign bond and equity risks? In his July 2019 paper entitled “Country Risk: Determinants, Measures and Implications – The 2019 Edition”, Aswath Damodaran examines country risk from multiple perspectives. He provides an overview of sources and measures of country risk, addressing both sovereign bond default risk and equity risk Keep Reading

Asset Class ETF Interactions with the Euro

How do different asset classes interact with euro-U.S. dollar exchange rate ? To investigate, we consider relationships between Invesco CurrencyShares Euro Currency (FXE) and the exchange-traded fund (ETF) asset class proxies used in “Simple Asset Class ETF Momentum Strategy” (SACEMS) at a monthly measurement frequency. Using monthly dividend-adjusted closing prices for FXE and the asset Keep Reading

AAII Investor Sentiment as a Stock Market Indicator

Is conventional wisdom that aggregate retail investor sentiment is a contrary indicator of future stock market return correct? To investigate, we examine the sentiment expressed by members of the American Association of Individual Investors (AAII) via a weekly survey of members. This survey asks AAII members each week (Thursday through Wednesday): “Do you feel the Keep Reading

Weekly Summary of Research Findings: 9/3/19 – 9/6/19

Below is a weekly summary of our research findings for 9/3/19 through 9/6/19. 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.

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