Can investors effectively use firm characteristics to screen European stocks? In their August 2019 paper entitled “Predictability and the Cross-Section of Expected Returns: Evidence from the European Stock Market”, Wolfgang Drobetz, Rebekka Haller, Christian Jasperneite...
How do different asset classes interact with the Japanese yen-U.S. dollar exchange rate? To investigate, we consider relationships between Invesco CurrencyShares Japanese Yen (FXY) and the exchange-traded fund (ETF) asset class proxies used in “Simple...
Below is a weekly summary of our research findings for 9/3/19 through 9/6/19. 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 market makers and sophisticated investors/traders determine option value? In his July 2019 essay entitled “Trading Volatility”, Emanuel Derman outlines the history and shortcomings of option valuation as described by the Black-Scholes model, which...
Below is a weekly summary of our research findings for 8/26/19 through 8/30/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“SACEMS-SACEVS for Value-Momentum Diversification” finds that the “Simple Asset Class ETF Value Strategy” (SACEVS) and the “Simple Asset Class ETF Momentum Strategy” (SACEMS) are mutually diversifying. Do longer samples available from “SACEVS Applied to Mutual Funds” and “SACEMS Applied to...
How does the market react when firms announce adoption of blockchain technology? In the May 2019 draft of their paper entitled “Bitcoin Speculation or Value Creation? Corporate Blockchain Investments and Stock Market Reactions”, Don Autore,...
In response to “OFR FSI as Stock Market Return Predictor”, a subscriber suggested overlaying a 10-month simple moving average (SMA10) technical indicator on the Office of Financial Research Financial Stress Index (OFR FSI) fundamental indicator...
Below is a weekly summary of our research findings for 8/19/19 through 8/23/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What should investors expect to see in a typical investment advisor’s model portfolio? In their July 2019 paper entitled “Factors and Advisors Portfolios”, Brian Lawler, Andrew Ang, Brett Mossman and Patrick Nolan examine patterns and...
Should investors consider allocations to products that track equity volatility indexes? In her July 2019 paper entitled “Challenges of Indexation in S&P 500 Index Volatility Investment Strategies”, Margaret Sundberg examines whether behaviors of S&P 500...
Below is a weekly summary of our research findings for 8/12/19 through 8/16/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In their July 2019 paper entitled “Momentum-Managed Equity Factors”, Volker Flögel, Christian Schlag and Claudia Zunft test exploitation of positive first-order autocorrelation (time series, absolute or intrinsic momentum) in monthly excess returns of seven equity...
Below is a weekly summary of our research findings for 8/5/19 through 8/9/19. 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 7/29/19 through 8/2/19. 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 Office of Financial Research Financial Stress Index (OFR FSI), described in “The OFR Financial Stress Index”, useful as a U.S. stock market return predictor? OFR FSI is a daily snapshot of global financial...
Would retail investors improve portfolio performance by using robo-advisors to manage holdings they have selected? In their July 2019 paper entitled “Artificial Intelligence Alter Egos:Who benefits from Robo-investing?”, Catherine D’Hondt, Rudy De Winne, Eric Ghysels...
Do most stocks worldwide beat the risk-free rate of return? In their July 2019 paper entitled “Do Global Stocks Outperform US Treasury Bills?”, Hendrik Bessembinder, Te-Feng Chen, Goeun Choi and John Wei compare returns of...
Do short-term trade ideas of professional stock analysts have merit? In their July 2019 paper entitled “Are Analyst Trade Ideas Valuable?”, Justin Birru, Sinan Gokkaya, Xi Liu and René Stulz examine the price impact of...
Below is a weekly summary of our research findings for 7/22/19 through 7/26/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How lucky would a asset class picker with no skill have to be to match the performance of the Simple Asset Class Momentum Strategy (SACEMS), which each month picks winners from a set of eight exchange-traded...
Some traders use a Relative Strength Index (RSI) range to identify trend and RSI extremes to signal turning points. How long should they require that RSI remain in range, and how often should they require...
Below is a weekly summary of our research findings for 7/15/19 through 7/19/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The Simple Asset Class ETF Momentum Strategy (SACEMS) each month picks winners based on total return over a specified ranking (lookback) interval from the following eight asset class exchange-traded funds (ETF), plus cash: PowerShares DB Commodity Index...
Below is a weekly summary of our research findings for 7/8/19 through 7/12/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...