…formal asset valuation models (extrapolations of historical return data) provide the most (least) predictive estimates of the future equity risk premium.

What does the U.S. stock market at industry/firm levels say about investor expectations during and after the 2019 coronavirus (COVID-19) pandemic? In the April 2020 update of their paper entitled “Feverish Stock Price Reactions to COVID-19”, Stefano Ramelli and Alexander Wagner examine and interpret industry/firm-level reactions to COVID-19 across three pandemic phases: Incubation: January 2-17,… Keep Reading

A subscriber asked about frequency, magnitude and duration of bear market rallies. To investigate, we employ the S&P 500 Index and consider three ways to define a bear market: From the day the index is first down over 20% from a prior peak until the day it closes no more than 20% down (< -20%… Keep Reading

Below is a weekly summary of our research findings for 3/30/20 through 4/3/20. 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 stock anomaly (factor premium) portfolios exhibit exploitable value and momentum? In their February 2020 paper entitled “Value and Momentum in Anomalies”, Deniz Anginer, Sugata Ray, Nejat Seyhun and Luqi Xu investigate exploitability of time variation in the predictive ability of 13 published U.S. stock accounting and price-based anomalies based on: (1) anomaly momentum (1-month… Keep Reading

Financial media and expert commentators often cite the U.S. unemployment rate as an indicator of economic and stock market health, generally interpreting a jump (drop) in the unemployment rate as bad (good) for stocks. Conversely, investors may interpret a falling unemployment rate as a trigger for increases in the Federal Reserve target interest rate (and… Keep Reading

U.S. job gains or losses receive prominent coverage in the monthly financial news cycle, with media and expert commentators generally interpreting employment changes as an indicator of future economic and stock market health. One line of reasoning is that jobs generate personal income, which spurs personal consumption, which boosts corporate earnings and lifts the stock… 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. We have updated the Trading Calendar to incorporate data for March 2020.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for April 2020. SACEMS rankings are unlikely to change by the close. SACEVS allocations are currently sensitive to various yields and S&P 500 Index level, so they are likely to shift by the… Keep Reading

Economic data arrive too slowly to help investors navigate crises such as the 2019 coronavirus (COVID-19) outbreak. Are there data that support quick reactions? In their March 2020 paper entitled “Coronavirus: Impact on Stock Prices and Growth Expectations”, Niels Gormsen and Ralph Koijen employ equity index dividend futures by maturity to understand the evolution of… Keep Reading