Investing Research Articles

Do investors swing toward optimism around U.S. presidential inauguration days, focusing on future opportunities? Or, does the day remind investors of political uncertainty and conflict? To investigate, we analyze daily returns of the S&P 500 Index around inauguration day. We consider subsamples of no party change and party change. Using inauguration dates since 1928 and… Keep Reading

Is the Turn-of-the-Month (TOTM) effect, a concentration of relatively strong stock market returns around the turns of calendar months, persistent over time and robust to different market conditions. Does it exist for all calendar months? Does it persist throughout the U.S. political cycle? Does it work for different equity indexes? To investigate, we define TOTM… Keep Reading

…evidence suggests that fear of disasters accounts for large fractions, perhaps most on average, of both the equity risk premium and the volatility risk premium.

…for the sake of realism, investment strategy developers should rigorously examine the defensibility of any assumptions embedded in their inference processes.

Here is this Friday’s installment of Avoiding Investment Strategy Flame-outs, a short book we are previewing for subscribers. Chapter previews will continue for the next four Fridays. Chapter 5: “Checking for Market Adaptation” “The market is a complex system with many interacting parts, and external influences. As in other social settings, there are two aspects to market… Keep Reading

How should global investors assess country sovereign bond and equity risks? In his July 2024 paper entitled “Country Risk: Determinants, Measures and Implications – The 2024 Edition”, Aswath Damodaran examines country risk from multiple perspectives. To estimate a country risk premium, he considers measurements of both country government bond risk and country equity risk. Based… Keep Reading

How might crypto-assets transform finance? In their December 2020 paper entitled “DeFi and the Future of Finance”, Campbell Harvey, Ashwin Ramachandran and Joey Santoro examine the potential for decentralized finance (DeFi) to disrupt traditional financial infrastructure. They summarize origins and essential features of DeFi, its potential to improve traditional finance and its risks. They also… Keep Reading

…21st-century investors should curb their exuberance.

…a pro-Democrat/anti-Republican bias in the mainstream media may affect the economic risk perception of some investors/potential investors, thereby affecting stock valuations.

…stock market booms arise from the confluence of strong economic growth and low inflation. Excessive (?) monetary policy reaction to rising inflation kills the booms.