Investing Research Articles

Does lack of liquidity among stocks in anomaly portfolios effectively block exploitation? In their November 2025 paper entitled “Liquidity Constraints and the Illusion of Anomaly Profitability”, Álvaro Cartea, Mihai Cucuringu, Qi Jin and Jiexiu Zhu assess exploitability of anomaly trading strategies after accounting for individual stock liquidities. They define liquidity of a stock as its… Keep Reading

Below is a weekly summary of our research findings for 12/8/25 through 12/12/25. 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.

Is U.S. equity market valuation outrunning its productive value? For perspective, we compare the trajectories of S&P 500 (SP500) index, earnings and dividends over recent decades and look at some potential explanations for divergences. Using quarterly SP500 data and 10-year U.S. Treasury note (T-note) yield during March 1988 through September 2025 and Shiller data as… Keep Reading

The equity premium is conventionally the return on stocks minus the risk-free rate (for short-term government bills). What should be the risk-free asset for equities, arguably expected to grow in real terms and never to mature? In the November 2025 draft of their paper entitled “Purifying the Equity Premium”, Christopher Polk and Tuomo Vuolteenaho argue… Keep Reading

Is systematically selling cash-covered equity put options, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider six equity put-write ETFs, three dead and three living: US Equity High Volatility Put Write (HVPW) – oriented toward individual stocks (dead). ALPS Enhanced Put Write Strategy (PUTX) – index-oriented (dead). WisdomTree Equity Premium Income Fund (WTPI) –… Keep Reading

How is the increasing role of interacting algorithms changing financial markets? In his November 2025 paper entitled “Algorithmic Exuberance”, Marc Schmitt presents an Algorithmic Exuberance model, which automatically stimulates market volatility from two coupled feedback channels (see the figure below): Market-algorithmic reflexivity (trading systems learning from one another). Information-algorithmic reflexivity (algorithmic amplification of news, narratives… Keep Reading

How material is the rebalance timing luck (RTL) induced by picking a trading day to reform a monthly stock momentum strategy? Is there a way to manage the risk of bad luck? In their November 2025 paper entitled “The Tranching Dilemma. A Cost-Aware Approach to Mitigate Rebalance Timing Luck in Factor Portfolios”, Carlo Zarattini and… Keep Reading

Below is a weekly summary of our research findings for 12/1/25 through 12/5/25. 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.

Can investors rely on price/return momentum as an eternal strategy foundation? In their August 2025 paper entitled “Momentum Factor Investing: Evidence and Evolution”, flagged by a subscriber, Bart van Vliet, Guido Baltussen, Sipke Dom and Milan Vidojevic review the evolution of momentum in the literature and examine momentum factor robustness over a long sample period…. Keep Reading

“Developed Country Stock Index Momentum?” summarizes a short paper finding that  MSCI developed country stock market indexes may exhibit exploitable momentum since 1970. However, indexes do not include costs of maintaining index-tracking funds, and the availability of such funds may induce market adaptation. Does the specified strategy work for exchange-traded funds (ETF) designed to track the selected… Keep Reading