Investing Research Articles

Are more factors better for predicting stock market returns? In their April 2025 paper entitled “The Limited Virtue of Complexity in a Noisy World”, Álvaro Cartea, Qi Jin and Yuantao Shi analyze the interactions between stock factor noisiness (errors/uncertainties) and factor model complexity in portfolio optimization. Specifically, they study how factor noise affects the predictive… Keep Reading

Does the Memorial Day holiday signal any unusual U.S. stock market return effects? By its definition, this holiday brings with it any effects from three-day weekends and sometimes the turn of the month. Prior to 1971, the U.S. celebrated Memorial Day on May 30. Effective in 1971, Memorial Day became the last Monday in May…. Keep Reading

Should a long-only equity investor seeking exposure to the size factor (stocks with small market capitalizations tend to outperform) and the value factor (stocks that are cheap with respect to fundamentals tend to outperform) choose two distinct funds or a combined small-value fund? In his March 2025 paper entitled “Small, Value, or Small/Value?”, Javier Estrada… Keep Reading

Below is a weekly summary of our research findings for 5/12/25 through 5/16/25. 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.

What are the implications of stock trading volume spikes for near-term returns? In their February 2025 paper entitled “Volume Shocks and Overnight Returns”, Álvaro Cartea, Mihai Cucuringu, Qi Jin and Mungo Wilson study the effects of stock trading volume shocks during normal trading hours on subsequent overnight and next-day returns. For each stock each day,… Keep Reading

Can investors exploit the definition of conventional 12-2 stock momentum (long the tenth, or decile, of stocks with the highest returns from 12 months ago to two months ago and short the decile with the lowest) to form more persistent momentum portfolios? In the April 2025 revision of their paper entitled “Momentum at Long Holding… Keep Reading

Do individual investors trade carefully and cautiously, or do they make snap judgments? In their March 2025 paper entitled “The Research Behavior of Individual Investors”, Toomas Laarits and Jeffrey Wurgler employ browser histories for an approximately representative sample of U.S. individual investors to address: How much time do they spend on stock research? Which sites… Keep Reading

What is the state of formal research on cryptocurrency investment strategies? In his April 2025 paper entitled “Quantitative Alpha in Crypto Markets: A Systematic Review of Factor Models, Arbitrage Strategies, and Machine Learning Applications”, William Mann synthesizes over two dozen peer-reviewed studies on systematic cryptocurrency trading strategies spanning 2018-2025. He categorizes studies as: Arbitrage and… Keep Reading

Below is a weekly summary of our research findings for 5/5/25 through 5/9/25. 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.

Should those aiming to exploit machine learning for portfolio construction focus model training on the broad market or specific industries? In their April 2025 paper entitled “Do Machine Learning Models Need to Be Sector Experts?”, Matthias Hanauer, Amar Soebhag, Marc Stam and Tobias Hoogteijling examine return predictability using several machine learning (ML) models trained on… Keep Reading