Investing Research Articles

Is retail trading a reliable driver of U.S. stock momentum? In his November 2019 paper entitled “Retail Trading and Momentum Profitability”, Douglas Chung investigates interactions across stocks between current proportion of retail trading and future momentum returns. Specifically, for each month and for each of two recent stock samples, he: Sorts stocks into fifths (quintiles)… Keep Reading

Below is a weekly summary of our research findings for 12/16/19 through 12/20/19. 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 the conventional linear factor model comprised of a few presumably independent predictors the best, or even a good, way to model differences in returns across assets? In the December 2019 update of their paper entitled “The Cross-Section of Returns: A Non-Parametric Approach”, Enoch Cheng and Clemens Struck compare predictive powers of conventional linear models… Keep Reading

Do investors systematically and exploitably underreact to deviations in firm fundamentals from recent averages? In their January 2020 paper entitled “Anchoring on Past Fundamentals”, Doron Avramov, Guy Kaplanski and Avanidhar Subrahmanyam investigate how deviations of quarterly firm accounting variables from averages over recent quarters relate to future returns across stocks. They first construct a stock… Keep Reading

Do anomaly portfolios that are long (short) the tenth, or decile, of stocks with the highest (lowest) expected value-weighted returns based on some firm accounting variable or stock behavior really work on a net basis? In the May 2019 version of their paper entitled “Shorting Costs and Profitability of Long-Short Strategies”, Dongcheol Kim and Byeung… Keep Reading

Are there equity styles that tend to perform relatively well during and after stock market crashes? In their April 2020 paper entitled “Equity Styles and the Spanish Flu”, Guido Baltussen and Pim van Vliet examine equity style returns around the Spanish Flu pandemic of 1918-1919 and five earlier deep U.S. stock market corrections (-20% to… Keep Reading

Can machine learning (ML) algorithms improve stock picking? In the May 2020 version of their paper entitled “Stock Picking with Machine Learning”, Dominik Wolff and Fabian Echterling apply ML to insights from financial research to assess stock picking abilities of different ML algorithms at a weekly horizon. Their potential return predictor inputs include equity factors… Keep Reading

Does nominal stock price matter for associated option returns? In their May 2020 paper entitled “Cheap Options Are Expensive”, Assaf Eisdorfer, Amit Goyal and Alexei Zhdanov evaluate option returns across the range of U.S. stock prices. For each stock each month, they: Pick a single call option and a single put option closest to at-the-money… Keep Reading

Do non-professional analysts who publish on Seeking Alpha offer valuable stock-picking advice? In their August 2020 paper entitled “The Cross-Section of Non-Professional Analyst Skill”, Michael Farrell, Russell Jame and Tian Qiu measure skill among such analysts as the hypothetical abnormal return an investor would earn by following reports/recommendations that focus on one common stock over… 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.