Can ChatGPT find red flags in firm earnings calls? In their January 2024 paper entitled “Unusual Financial Communication – Evidence from ChatGPT, Earnings Calls, and the Stock Market”, Lars Beckmann, Heiner Beckmeyer, Ilias Filippou, Stefan...
Can machine learning models pick stocks that unequivocally generate alpha out-of-sample? In their November 2023 paper entitled “The Expected Returns on Machine-Learning Strategies”, Vitor Azevedo, Christopher Hoegner and Mihail Velikov assess expected net returns and...
Below is a weekly summary of our research findings for 2/12/24 through 2/16/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Given wide bid-ask spreads, do retail option traders systematically bear large losses? In their January 2024 paper entitled “An Anatomy of Retail Option Trading”, Vincent Bogousslavsky and Dmitriy Muravyev characterize retail option trading in the U.S....
Can explainable artificial intelligence (AI) bridge the gap between complex machine learning predictions and economically meaningful interpretations? In their December 2023 paper entitled “Empirical Asset Pricing Using Explainable Artificial Intelligence”, Umit Demirbaga and Yue Xu...
Below is a weekly summary of our research findings for 2/5/24 through 2/9/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Which comes first, adjustments in U.S. Treasuries yields across the term structure, or government announcement of new U.S. inflation data? To investigate, we relate monthly changes in yields for 1-year, 2-year, 3-year, 5-year, 7-year, 10-year,...
Can causal discovery algorithms (which look beyond simple statistical association, and instead consider all available data and allow for lead-lag relationships) make economically meaningful contributions to equity investing? In their December 2023 paper entitled “Causal...
Does the Fama-French 5-factor model of stock returns stand up to causality analyses? Do the factors cause the returns? In their December 2023 paper entitled “Re-Examination of Fama-French Factor Investing with Causal Inference Method”, Lingyi...
Below is a weekly summary of our research findings for 1/29/24 through 2/2/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do linear factor model specification choices inherently produce out-of-sample underperformance of investment strategies seeking to exploit factor premiums? In their January 2024 paper entitled “Why Has Factor Investing Failed?: The Role of Specification Errors”, Marcos...
Do Federal Funds Rate (FFR) actions taken by the Federal Reserve open market operations committee reliably predict stock market and U.S. Treasuries yield reactions? To investigate, we use the S&P 500 Index (SP500) as a...
A subscriber asked whether more granularity in international equity choices for the “Simple Asset Class ETF Momentum Strategy” (SACEMS), such as considered by Decision Moose, would improve performance. To investigate, we augment/replace international developed and emerging equity...
Does publication of academic studies on stock return anomalies in the U.S. tend to extinguish these anomalies in global markets? In their November 2023 paper entitled “Does U.S. Academic Research Destroy the Predictability of Global...
Below is a weekly summary of our research findings for 1/22/24 through 1/26/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How might Large Language Models (LLM), trained to understand, generate and interact with human language via billions or trillions of tuned parameters, impact accounting and finance? In their December 2023 paper entitled “A Scoping Review...
“Turn-of-the-Month Effect Persistence and Robustness” indicates that average absolute returns during the turn-of-the-month (TOTM) are strong for both bull and bear markets. Does a strategy of capturing all bull market returns and TOTM returns only...
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?...
Below is a weekly summary of our research findings for 1/16/24 through 1/19/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does long term data support the belief that “as goes January, so goes the rest of the year” (January is the barometer) for the the U.S. stock market? To investigate, we consider two views of...
Below is a weekly summary of our research findings for 1/8/24 through 1/12/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Below is a weekly summary of our research findings for 1/2/24 through 1/5/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Academic studies of stock portfolio optimization often use an equal-weighted (EW) strategy as benchmark. Are there simple EW enhancements that researchers ought to consider instead? In their December 2023 paper entitled “Outperforming Equal Weighting”, Antonello...
“Distance Between Fast and Slow Price SMAs and Stock Returns” finds that extreme distance between a 21-trading day simple moving average (SMA) and 200-trading day SMA, as applied to individual U.S. stock price series, may...
Below is a weekly summary of our research findings for 12/26/23 through 12/29/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...