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Investing Research Articles

3653 Research Articles

Buy Intraday Loser Stocks in the Last Half-hour?

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 minutes of the trading day. They segment the 24-hour close-to-close trading day into: (1) overnight (close to open); (2) first… Keep Reading

Weekly Summary of Research Findings: 12/30/24 – 1/3/25

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

Imagined Markets, Imagined Research Findings?

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 December 2024 paper entitled “Do Experimental Asset Market Results Replicate? High-powered Preregistered Replications of 17 Claims”, Christoph Huber, Felix Holzmeister,… Keep Reading

LLMs as Quant Tools

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 the use of LLMs in quantitative finance, focusing on: the current state of LLM technology in financial applications; comparison of… Keep Reading

Extended Tests of Four Popular Stock Screening Strategies

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 common portfolio framework over a long period. These formulas focus on certain firm/stock characteristics, implicitly or explicitly translating stock market… Keep Reading

Dynamic Exchange Rate Hedging for Cross-currency Equity Holdings

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 Van Hemert analyze pair-wise dynamic currency exchange risk hedging strategies for global equity markets based on three widely accepted exchange… Keep Reading

Weekly Summary of Research Findings: 12/23/24 – 12/27/24

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

Testing the Stock Market Earnings Yield-TIPS Yield Delta

“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 Securities (TIPS) coupon yield, has statistical power to predict future stock market returns. To corroborate this finding from an investing… Keep Reading

Stock Returns Around New Year’s Day

Does the New Year’s Day holiday, a time of replanning and income tax positioning, systematically affect investors in a way that translates into U.S. stock market returns? To investigate, we analyze the historical behavior of the S&P 500 Index during the five trading days before and the five trading days after the holiday. Using daily… Keep Reading

Predicting Stock Market Return with Stocks-TIPS Yield Delta

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 draft of their paper entitled “An Investigation into the Causes of Stock Market Return Deviations from Real Earnings Yields”, flagged… Keep Reading