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Investing Research Articles

93 Research Articles

Combining and Exploiting Stock Market Forecasting Variables

Does the set of variables that have the strongest correlations with subsequent U.S. stock market returns over the prior decade usefully predict market returns out-of-sample? In the July 2015 draft of their paper entitled “A Practitioner’s Defense of Return Predictability”, Blair Hull and Xiao Qiao apply this correlation screening approach to a set of 20 published stock market forecasting variables encompassing… Keep Reading

Book Preview – Chapter 7

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 two Fridays. Chapter 7: “Thinking about Taxes” “To the extent that governments tax different kinds of income/investment returns (interest, dividends, long-term capital gains and short-term capital gains) differently, taxes may be decisive… Keep Reading

Evaluating Strategy Backtests

How should investors assess the credibility of investment strategy backtests? In his October 2013 paper entitled “Telling the Good from the Bad and the Ugly: How to Evaluate Backtested Investment Strategies”, Patrick Beaudan recommends ways to judge investment strategies and backtests based on his years of experience in evaluating, managing and investing in algorithmic strategies. His perspective… Keep Reading

Weekly Summary of Research Findings: 11/6/23 – 11/10/23

Below is a weekly summary of our research findings for 11/6/23 through 11/10/23. 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.

Investor Perception/Anticipation of Tail Events

How do individuals perceive and position for Black Swans? In his March 2013 paper entitled “The Psychology of Tail Events: Progress and Challenges”, Nicholas Barberis employs a two-step framework to summarize recent research on the psychology of tail events. He first addresses belief about the probability of a tail event. He then covers actions/decisions based on this belief,… Keep Reading

Capital Gains Tax Rate and Stock Market Returns

How might the capital gains tax rate affect stock market returns? First, a relatively low (high) rate might encourage (discourage) capital investment and stimulate (depress) economic growth, thereby persistently increasing (decreasing) corporate earnings and stock market returns. Second, an increase (decrease) in the rate might immediately drive lower (higher) portfolio allocations to stocks and thereby… Keep Reading

Do TIPS Work?

Are Treasury Inflation Protected Securities (TIPS), for which the Treasury adjusts the principal based on the Consumer Price Index for all urban consumers (CPI-U), effective as an inflation hedge? In their September 2009 paper entitled “A TIPS Scorecard: Are TIPS Accomplishing What They Were Supposed to Accomplish? Can They Be Improved?”, Michelle Barnes, Zvi Bodie,… Keep Reading

Stock Market Timing Using P/E SMA Signals

A subscriber proposed four alternative ways of timing the U.S. stock market based on simple moving averages (SMA) of the market price-earnings ratio (P/E), as follows: 5-Year Binary – hold stocks (cash) when P/E is below (above) its 5-year SMA. 10-Year Binary – hold stocks (cash) when P/E is below (above) its 10-year SMA. 15-Year Binary… Keep Reading

Individual Risk Tolerance Under the Hood

…financial advisors may be able to improve advisee satisfaction by refining the typical approach to risk tolerance measurement and accommodation. The self-advised can apply such refinement to themselves.

Weekly Summary of Research Findings: 5/10/21 – 5/14/21

Below is a weekly summary of our research findings for 5/10/21 through 5/14/21. 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.