Below is a weekly summary of our research findings for 1/6/25 through 1/10/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Data snooping bias entails the capture of noise in a dataset that is lucky with respect to a research goal, such as high Sharpe ratio for an investment/trading strategy. Snooping may involve discovery via multiple...
Can large language models (LLMs) create financial research? In their December 2024 paper entitled “AI-Powered (Finance) Scholarship”, Robert Novy-Marx and Mihail Velikov describe a process for automatically generating academic finance papers using LLMs and demonstrates...
Are there “trigger” words in risk sections of annual U.S. firm 10-K reports that materially influence buying and selling of associated stocks? In his December 2024 paper entitled “Risky Words and Returns”, Sina Seyfi tests...
Should investors expect end-of-day rebounds in intraday loser stocks? In their November 2024 paper entitled “End-of-Day Reversal”, Amar Soebhag, Guido Baltussen and Zhi Da investigate intraday return reversal among individual stocks during the last 30...
Below is a weekly summary of our research findings for 12/30/24 through 1/3/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Experimental (researcher-imagined) asset markets provide a controlled environment for testing hypotheses about investor behaviors. Do limits on abilities of researchers to model markets realistically, and researcher incentives/motivations, jeopardize the credibility of associated studies? In their...
How can investors best apply the available array of Large Language Models (LLM) in quantitative strategy development? In his December 2024 paper entitled “The LLM Quant Revolution: From ChatGPT to Wall Street”, William Mann summarizes...
How well have popular stock screens worked over the long term and since 2000? In their December 2024 paper entitled “Formula Investing”, Marcel Schwartz and Matthias Hanauer test four popular stock screening formulas with a...
How can cross-currency equity investors best approach hedging the associated currency exchange risk? In their December 2024 paper entitled “The Best Strategies for FX Hedging”, Pedro Castro, Carl Hamill, John Harber, Campbell Harvey and Otto...
Below is a weekly summary of our research findings for 12/23/24 through 12/27/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Predicting Stock Market Return with Stocks-TIPS Yield Delta” summarizes results of a study finding that deviations of the S&P 500 earnings yield from the real government bond yield, as measured by the 10-year Treasury Inflation-Protected...
Do deviations of the aggregate stock market earnings yield from the real government bond yield, as measured by the 10-year Treasury Inflation-Protected Securities (TIPS) coupon yield, predict future stock market returns? In the December 2024...
“Distance Between Fast and Slow Price SMAs and Stock Returns” finds that extreme distance between a 21-trading day simple moving average (SMA21) and 200-trading day simple moving average (SMA200), as applied to individual U.S. stock...
Below is a weekly summary of our research findings for 12/16/24 through 12/20/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
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...
How should investors think about research using long-run financial data? In their October 2024 paper entitled “Long-Run Asset Returns”, David Chambers, Elroy Dimson, Antti Ilmanen and Paul Rintamäki survey the body of evidence on historical...
Below is a weekly summary of our research findings for 12/9/24 through 12/13/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can expected trading frictions, as derived from trading volume forecasts, materially improve active stock portfolio net performance? In the May 2024 version of their paper entitled “Trading Volume Alpha”, flagged by a subscriber, Ruslan Goyenko,...
Are the human choices in studies that apply machine learning models to forecast stock returns critical to findings? In other words, is there a confounding machine learning design choices zoo? In their November 2024 paper...
A subscriber wondered whether choosing the fourth place asset class exchange-traded fund (ETF) rather than the third place class ETF for monthly reformation of the Simple Asset Class ETF Momentum Strategy (SACEMS) would matter if...
Do some stocks entail emotional relationships that alter investor perceptions of risk and return? Is the effect exploitable? In their November 2024 paper entitled “Investor Emotions and Asset Prices”, Shehub Bin Hasan, Alok Kumar and...
Below is a weekly summary of our research findings for 12/2/24 through 12/6/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are broad measures of public sociopolitical sentiment relevant to investors? Do they predict stock returns as indicators of exuberance and fear? To investigate, we relate S&P 500 Index return and 12-month trailing S&P 500 price-operating...
How should investors think about potential shocks to firm valuations and financial markets research from generative artificial intelligence (GenAI)? In their October 2024 paper entitled “AI and Finance”, Andrea Eisfeldt and Gregor Schubert review the literature...