Below is a weekly summary of our research findings for 9/9/24 through 9/13/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How does the performance of the global multi-class market look when evaluated at a monthly frequency? In their August 2024 paper entitled “The Risk and Reward of Investing”, Ronald Doeswijk and Laurens Swinkels assess global...
Can pattern recognition software, combined with news sentiment, identify profitable short-term stock trades? In their July 2024 paper entitled “Technical Patterns and News Sentiment in Stock Markets”, Markus Leippold, Qian Wang and Min Yang test...
Below is a weekly summary of our research findings for 9/3/24 through 9/6/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber requested measurement of a “premium” associated with stocks of innovative technology firms by looking at the difference in returns between the following two exchange-traded funds (ETF): Invesco QQQ Trust (QQQ), which generally tracks...
Are large and sophisticated investors (whales) better than small retail investors (minnows) at timing established crypto-asset markets? In their August 2024 paper entitled “Beneath the Crypto Currents: The Hidden Effect of Crypto ‘Whales'”, Alan Chernoff...
Does the combination of an artificial intelligence (AI)-generated financial news sentiment with a complex financial stress metric generate good stock market timing signals? In their April 2024 paper entitled “Mixing Financial Stress with GPT-4 News...
Below is a weekly summary of our research findings for 8/26/24 through 8/30/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How do crypto-asset prices interact with conventional market risks, monetary policy and crypto-specific factors? In their July 2024 paper entitled “What Drives Crypto Asset Prices?”, Austin Adams, Markus Ibert and Gordon Liao investigate factors influencing...
“CNN Fear and Greed Index as Return Predictor” reports findings from a draft study that the CNN Fear and Greed Index (F&G) may be useful for U.S. stock index timing. The authors of that paper...
Morningstar finds in “Mind the Gap” that poor timing of trades by mutual fund investors results in 1.7% annual underperformance of buy-and-hold (6.0% versus 7.7%) during 2013 through 2022. Is this finding correct? In the...
Below is a weekly summary of our research findings for 8/19/24 through 8/23/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is the CNN Fear and Greed Index useful for predicting asset returns? In the July 2024 draft of their paper entitled “The CNN Fear and Greed Index as a Predictor of Us Equity Index Returns”,...
Is stock price-to-earnings ratio (P/E), in aggregate or by individual stock, truly predictive of returns? In their April 2024 paper entitled “Valuing Stocks With Earnings”, Sebastian Hillenbrand and Odhrain McCarthy examine relationships between P/E and...
Below is a weekly summary of our research findings for 8/12/24 through 8/16/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can investors manage cryptocurrency volatility risk with simple trend following rules? In their August 2024 paper entitled “Trend-following Strategies for Crypto Investors”, Trinh Hue Le and Ummul Ruthbah test simple trend following rules on Bitcoin...
Do analysts systematically ignore the connection between future firm earnings and current economic conditions? In their July 2024 paper entitled “Predicting Analysts’ S&P 500 Earnings Forecast Errors and Stock Market Returns Using Macroeconomic Data and...
Below is a weekly summary of our research findings for 8/5/24 through 8/9/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Has ease of access to, and processing of, firm accounting data suppressed stock anomalies by leveling the information playing field? In their July 2024 paper entitled “The Effect of New Information Technologies on Asset Pricing...
What are the best ways to apply backtesting in the development of investment strategies? In their July 2024 paper entitled “The Three Types of Backtests”, Jacques Joubert, Dragan Sestovic, Illya Barziy, Walter Distaso and Marcos...
What is the distribution of U.S. common stock outcomes over the past century? In the July 2024 draft of his paper entitled “Which U.S. Stocks Generated the Highest Long-Term Returns?”, Hendrik Bessembinder presents cumulative returns...
Does the CBOE Volatility Index (VIX) exhibit exploitable seasonality? To investigate, we calculate by calendar month and compare average monthly: Change in VIX. Return for ProShares VIX Short-Term Futures ETF (VIXY). Return for ProShares Short...
Below is a weekly summary of our research findings for 7/29/24 through 8/2/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does Michael Farr, CEO and founder of Farr, Miller & Washington, offer good stock picks via his annual CNBC articles identifying the best 10 stocks for the next year? To investigate, we take his picks...
Does subjective technical analysis truly add value? In their June 2024 paper entitled “The Power Of Price Action Reading”, Carlo Zarattini and Marios Stamatoudis investigate the value added to simple trading rules by the discretionary...