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Weekly Summary of Research Findings: 3/2/20 – 3/6/20

| | Posted in: Miscellaneous

Below is a weekly summary of our research findings for 3/2/20 through 3/6/20. 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.

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  • Pick Stocks of Firms that Tweet a Lot?
    Evidence suggests that firms using Twitter carry a social media risk rewarded by higher stock returns compared to firms not engaged on Twitter.
  • SACEVS and SACEMS from a European Perspective
    Available evidence indicates that introducing a currency exchange complication into SACEVS and SACEMS increases strategy volatilities and deepens drawdowns.
  • Bonds During the Off Season?
    Evidence from simple tests on a limited sample suggest that safe bonds tend to outperform both stocks and high yield bonds during the May-October off-season for stocks.
  • The Post-publication Value Premium
    Evidence indicates that the value premium for U.S. stocks materially declines post-publication, but the high volatility of monthly value premiums limits confidence in the decline.
  • Roll of Social Transmission Bias in Investing
    Investing models that incorporate social transmission biases may support development of attractive investment strategies.
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