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Investing Research Articles

60 Research Articles

A Few Notes on Day Trading Options

…traders may find Day Trading Options an interesting exploration of potential short-term options pricing inefficiencies and of approaches to exploiting such anomalies. However, the book presents no associated model of reasonably sustainable portfolio-level returns.

Weekly Summary of Research Findings: 3/14/22 – 3/18/22

Below is a weekly summary of our research findings for 3/14/22 through 3/18/22. 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.

Jim Cramer’s Gaps and Reversals

…Jim Cramer’s buy (sell) recommendations tend to gap up (down) overnight to a degree inverse to market capitalization and then level off or reverse over the next few weeks. In general, investors cannot capture the gaps. The best play for traders is to buy Cramer-initiated small-cap sell recommendations within a few days and wait for reversal over the next few weeks.

When to Look for Momentum and Reversal Intraday

Do stock return momentum and reversal strategies work better when focused on certain intraday intervals rather than close-to-close, according to whether trades are primarily exploiting information or supplying liquidity? In his April 2017 paper entitled “Reversal, Momentum and Intraday Returns”, Haoyu Xu examines intraday versions of momentum and reversal anomalies, with focus on the first two… Keep Reading

Taking the Noise Out of Stock Beta?

Are stock betas calculated with price jumps (arguably derived from informed trading) more useful than those calculated conventionally (arguably dominated by noise trading)? In the December 2014 version of their paper entitled “Roughing Up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns”, Tim Bollerslev, Sophia Zhengzi Li and Viktor Todorov compare the powers of standard or “smooth” stock betas and… Keep Reading

Secrets of Informed Commodity Futures Traders?

Are there commodity futures traders who consistently outperform? Who are they? What information do they exploit? In the September 2010 version of their paper entitled “Identifying Informed Traders in Futures Markets”, Raymond Fishe and Aaron Smith examine the short-term trading abilities of commodity futures traders by recreating their trading histories. They distinguish between those who… Keep Reading

Day and Night Stock Returns Worldwide

Do stocks worldwide generate most of their total return while the market is open or closed? In their October 2015 paper entitled “Making Money While You Sleep? Anomalies in International Day and Night Returns”, Kevin Aretz and Sohnke Bartram decompose returns and factor premiums into day and night components. When aggregating returns across countries, they first average… Keep Reading

Global Stock Market Contagion

…Asian stock markets do to some degree follow the U.S. market, including its sharp drops. However, U.S. market plunges are rare and clustered, the Asian market responses to these plunges are noisy, and overnight/weekend gaps on Asian markets substantially absorb plunge contagion.

Patterns in Short-term Bitcoin Returns?

Are there short-term patterns in bitcoin returns? In their April 2022 paper entitled “Seasonality, Trend-following, and Mean Reversion in Bitcoin”, Matus Padysak and Radovan Vojtko explore short-term bitcoin return behaviors. They look at: Daily patterns with respect to NYSE trading hours, defining intraday return as 10:00-16:00, overnight return as 16:00-10:00 and daily return as 1600-16:00… Keep Reading

Do Not Trade at the Open?

“Does it really help to wait a half hour (or whatever) before trading?”