Below is a weekly summary of our research findings for 3/23/20 through 3/27/20. 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.
- Do High-dividend Stock ETFs Beat the Market?
Evidence from available data for high-dividend U.S. stock ETFs does not support belief that high-dividend stocks outperform the broad U.S. stock market. - Middle-of-the-Night Stock Market Gains
Evidence indicates that resolution of closing order imbalances drives an abnormally positive average U.S. stock market return during 2 a.m. to 3 a.m. ET, and there is an abnormally negative average return around the open of regular trading. - Ex-U.S. Equity Factor Model Horse Race
Evidence outside the U.S. indicates that six variables (market, size, book-to-market measured monthly, momentum, cash-based profitability and investment) comprise the best linear model of stock returns of models widely in use. - SACEMS with SMA Filter
Evidence from simple tests on available data does not support belief that adding an SMA10 filter to SACEMS winners (ensuring that no holdings are below their respective SMA10s) helps SACEMS performance. - Stock Market Continuation and Reversal Months?
Evidence from simple tests on U.S. stock indexes offers little support for belief that some calendar months may be more prone to continuation or reversal of trends than others.
