Investing Research Articles

Are there interactions between stock return momentum and days of the week? In their March 2024 paper entitled “Same-Weekday Momentum”, Zhi Da and Xiao Zhang investigate how momentum interacts with days of the week. They first perform regression tests to evaluate abilities of same-day and other-day past returns to predict day-of-the-week momentum. They then evaluate… Keep Reading

Do funds based on holdings/trades of members of the U.S. Congress and their families beat the market? To investigate, we look at performances of two recently introduced exchange-traded funds (ETF): Unusual Whales Subversive Democratic Trading ETF (NANC) – invests primarily in stocks held by Democratic members of Congress and/or their families per public disclosure filings…. Keep Reading

Are the industry membership of a firm, as designated by Standard Industrial Classification (SIC) code, and the position of the firm within its industry good predictors of the performance of its stock? In their May 2024 paper entitled “Decoding Cross-Stock Predictability: Peer Strength versus Firm-Peer Disparities”, Doron Avramov, Shuyi Ge, Shaoran Li and Oliver Linton… Keep Reading

The middle of the year might be a time for funds to dress their windows and investors to review and revise portfolios. The 4th of July celebration might engender optimism among U.S. investors. Are there any reliable patterns in daily U.S. stock market returns around mid-year and the 4th of July? To check, we analyze… Keep Reading

Below is a weekly summary of our research findings for 6/17/24 through 6/21/24. 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.

What happens to retail investor performance when brokers make trading apps game-like (gamification)? In his June 2024 paper entitled “Gamification of Stock Trading: Losers and Winners”, Eduard Yelagin examines how traders react to injections of gamification in mobile trading apps offered by major U.S. brokers. For each app update, he reviews developer notes about its… Keep Reading

A subscriber asked about the stability of the momentum measurement (lookback) interval used for strategies like the Simple Asset Class ETF Momentum Strategy (SACEMS). To investigate, we run two tests on each of top one (Top 1),  equal-weighted top two (EW Top 2) and equal-weighted top three (EW Top 3) versions of SACEMS: Identify the… Keep Reading

What happens if we extend the “Simple Asset Class ETF Value Strategy” (SACEVS) with a real estate risk premium, derived from the yield on equity Real Estate Investment Trusts (REIT), represented by the FTSE NAREIT Equity REITs Index? To investigate, we apply the SACEVS methodology to the following asset class exchange-traded funds (ETF), plus cash: 3-month Treasury bills (Cash) iShares 20+… Keep Reading

Does the U.S. stock market have a predictable pattern of returns around ends of calendar quarters? Do funds deploy cash to bid stocks up at quarter ends to boost portfolio values in quarterly reports (with subsequent reversals)? Or, do they sell stocks to raise cash for fund redemptions? Is any end-of-quarter effect distinct from the… Keep Reading

Below is a weekly summary of our research findings for 6/10/24 through 6/14/24. 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.