Investing Research Articles

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 the ability of pattern recognition software (convolutional neural network) to find profitable technical reversal patterns within U.S. and Chinese stock… Keep Reading

“Nixed: The Upside of Getting Dumped”, flagged by a subscriber, finds that “index deletions…could add an abnormal upside to a portfolio when the current growth-dominated bubble starts to deflate.” The authors have quantified findings as the Research Affiliates Deletions Index (NIXT), constructed by: Starting with deletions due to market capitalization changes from the 500 and… Keep Reading

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 your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

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 the NASDAQ 100 Index SPDR S&P 500 ETF Trust (SPY) Using monthly dividend-adjusted closing prices for these ETFs during March 1999… Keep Reading

Do exchange-traded funds (ETF) that track asset classes, such as those used in the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS), exhibit reliable seasonalities? To check, we look at average return by calendar month for the following nine ETFs: SPDR S&P 500 ETF Trust (SPY) iShares… Keep Reading

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 and Julapa Jagtiani compare short-term timing abilities of whales and minnows trading Ethereum (ETH). Specifically, they explore relationships between next-day… Keep Reading

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 Sentiment Analysis for Optimal Risk-On/Risk-Off Decisions”, Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana, David Saltiel, Beatrice Guez and Thomas Jacquot devise… Keep Reading

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 your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

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 crypto-asset returns using a sign-restricted, structural vector auto-regressive model. Specifically, they decompose daily Bitcoin returns into components reflecting: Monetary policy… Keep Reading

“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 generously provided their hand-collected sample of daily CNN F&G levels for 4/7/21 through 3/8/24. We partly validate and extend that… Keep Reading