Investing Research Articles

Speculator level of interest (attention) is plausibly key to bitcoin price behavior. Does the level of online searches for “bitcoin” as a proxy for attention usefully predict bitcoin return? To investigate, we examine interactions between monthly worldwide search intensity for “bitcoin” as measured by Google Trends to represent speculator attention and monthly bitcoin returns. Using… Keep Reading

Do motives of financial market researchers justify strong skepticism of their findings? In his brief August 2021 paper entitled “Be Skeptical of Asset Management Research”, Campbell Harvey argues that economic incentives undermine belief in findings of both academic and practitioner financial market researchers. Based on his 35 years as an academic, advisor to asset management… Keep Reading

Below is a weekly summary of our research findings for 9/13/21 through 9/17/21. 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 exchange-traded funds (ETF) that track asset classes, such as those used in the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS), exhibit reliable seasonalities? To check, we look at average return by calendar month for the following nine ETFs: SPDR S&P 500 (SPY) iShares Russell 2000… Keep Reading

The “Simple Asset Class ETF Value Strategy” (SACEVS) seeks diversification across a small set of asset class exchanged-traded funds (ETF), plus a monthly tactical edge from potential undervaluation of three risk premiums: Term – monthly difference between the 10-year Constant Maturity U.S. Treasury note (T-note) yield and the 3-month Constant Maturity U.S. Treasury bill (T-bill) yield. Credit – monthly difference between the Moody’s… Keep Reading

Are equity multifactor strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider seven ETFs, all currently available: iShares Edge MSCI Multifactor USA (LRGF) – holds large and mid-cap U.S. stocks with focus on quality, value, size and momentum, while maintaining a level of risk similar to that of the market. The benchmark… Keep Reading

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for August 2021. The actual total (core) inflation rate is slightly higher than (a little lower than) forecasted.

Does bitcoin (BTC) price predictably exhibit momentum or reversion? To investigate, we try three tests: Calculate autocorrelations (serial correlations) between daily, weekly and monthly (4-week) BTC returns and BTC returns for the next five respective intervals (for example, correlation of daily return with returns the next five days). Positive and negative correlations suggest momentum and… Keep Reading

How frequently and permanently do individual U.S. investors sell stocks in a panic? In their August 2021 paper entitled “When Do Investors Freak Out?: Machine Learning Predictions of Panic Selling”, Daniel Elkind, Kathryn Kaminski, Andrew Lo, Kien Wei Siah and Chi Heem Wong examine frequency, timing and duration of panic selling. They define panic selling… Keep Reading

Below is a weekly summary of our research findings for 9/7/21 through 9/10/21. 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.