Investing Research Articles

Are there ways to revive the fading performance of the short-term reversal (STR) strategy, which is long stocks with the lowest returns last month and short stocks with the highest? In their September 2023 paper entitled “Reversing the Trend of Short-Term Reversal”, David Blitz, Bart van der Grient and Iman Honarvar investigate revival of the… Keep Reading

Are new machine learning portfolio strategies practically better than old stock factor ways? In their August 2023 paper entitled “Predicting Returns with Machine Learning Across Horizons, Firms Size, and Time”, Nusret Cakici, Christian Fieberg, Daniel Metko and Adam Zaremba examine the ability of various machine learning models to predict stock returns for: (1) monthly and… Keep Reading

Instead of searching among hundreds of firm/stock characteristics to identify those that best predict stock returns, what about first finding the stocks with the highest and lowest past returns and then examining the characteristics of those stocks? In his June 2023 paper entitled “Essence of the Cross Section”, Sina Seyfi identifies the strongest determinants of… Keep Reading

Can investors make the stock return momentum effect stronger/more reliable by isolating stocks for which many similar stocks exhibit very strong or very weak past returns? In his December 2022 paper entitled “Neighbouring Assets”, Sina Seyfi explores this question by sorting stocks based on average past returns of other stocks with the most similar sets… Keep Reading

Below is a weekly summary of our research findings for 3/8/21 through 3/12/21. 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.

Below is a weekly summary of our research findings for 12/5/22 through 12/9/22. 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 test portfolio construction decisions in published research on stock return predictors impound bias by fitting the noise (capturing luck) in historical returns? In his November 2022 paper entitled “Looking Under the Hood of Data-Mining”, Mathias Hasler re-evaluates research published in academic journals on 92 stock return predictors by testing alternatives for 12 portfolio construction… Keep Reading

Should investors expect materially different returns for stocks accepted or excluded by institutional investors based on firm environmental, social and corporate governance (ESG) policies and practices? In their April 2022 paper entitled “The Expected Returns of ESG Excluded Stocks. The Case of Exclusions from Norway’s Oil Fund”, Erika Berle, Wangwei He and Bernt Ødegaard analyze… Keep Reading

Can investors improve the performance of stock momentum portfolios by isolating stocks that “hold” their momentum? In their April 2022 paper entitled “Enduring Momentum”, Hui Zeng, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti exploit firm characteristics to identify stocks that continue to be winners or losers after selection as momentum stocks (stocks with enduring momentum)…. Keep Reading

Do stocks of firms focused on luxury goods outperform those of more prosaic companies? In his June 2019 paper entitled “Demand-Driven Risk and the Cross-Section of Expected Returns”, Alejandro Lopez-Lira examines aggregate performance of firms selling goods with high income elasticity (luxury goods), assuming that such firms are particularly exposed to demand-driven risk (consumption shocks)…. Keep Reading