Investing Research Articles

Below is a weekly summary of our research findings for 10/4/21 through 10/8/21. 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 naive investors overvalue (undervalue) stocks with relatively high (low) recent returns, thereby causing exploitable overpricing (underpricing)? In the April 2019 version of his paper entitled “The Impact of Recency Effects on Stock Market Prices”, Hannes Mohrschladt devises and tests a measure of this recency effect based on correlation between daily returns during a month… Keep Reading

Below is a weekly summary of our research findings for 4/12/21 through 4/16/21. 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.

Is outperformance of low-volatility stocks just a manifestation of the value premium (outperformance of stocks with high book-to-market ratios compared to stocks with low book-to-market ratios)? In his February 2016 paper entitled “The Value of Low Volatility”, David Blitz examines the interaction of the value premium with returns of long-only portfolios of low-volatility U.S. stocks over… Keep Reading

Below is a weekly summary of our research findings for 1/25/21 through 1/29/21. 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 1/19/21 through 1/22/21. 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 10/19/20 through 10/23/20. 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.

Are portfolios of U.S. stocks that are double-sorted to capture benefits of two complementary return anomalies attractive? In their July 2020 paper entitled “Interacting Anomalies”, Karsten Müller and Simon Schmickler test all possible double-sorted portfolios across 102 stock return anomalies (10,302 double-sorts). They employ 5×5 double-sorts, first ranking stocks into fifths (quintiles) for one anomaly… Keep Reading

Below is a weekly summary of our research findings for 4/13/20 through 4/17/20. 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.

Given the uniqueness of fine art objects and uncertainties in demand (at auctions), can investors in paintings get accurate estimates of market values of holdings and potential acquisitions? In their March 2019 paper entitled “Machines and Masterpieces: Predicting Prices in the Art Auction Market”, Mathieu Aubry, Roman Kräussl, Gustavo Manso and Christophe Spaenjers compares accuracies… Keep Reading