Investing Research Articles

Has 24-hour trading of equity index futures created a reliable pattern in hour-by-hour returns? In their February 2020 preliminary paper entitled “The Overnight Drift”, Nina Boyarchenko, Lars Larsen and Paul Whelan study round-the-clock U.S. stock market performance decomposing S&P 500 Index futures returns by hour, with focus on dealer inventory management. Using 24-hour high-frequency trades… Keep Reading

Subscribers are posing questions about the 2019 coronavirus (COVID-19) as a driver of current market conditions that are difficult to address with evidence-based analyses. Here are some questions and thoughts:

Below is a weekly summary of our research findings for 3/16/20 through 3/20/20. 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.

When the stock market close is strong (weak) relative to its daily range, does it indicate pent-up buying (selling) demand? Should one trade with or against this relative close? To investigate, we relate position of the daily close for the S&P 500 Index relative to its same-day range to future return for the index. We… Keep Reading

Does success in the U.S. equity market depend on an ever- shrinking percentage of outperforming stocks? In his February 2020 paper entitled “Wealth Creation in the U.S. Public Stock Markets 1926 to 2019”, Hendrik Bessembinder updates his analysis of wealth creation in excess of 1-month U.S. Treasury bills (T-bills) across U.S. stocks since 1926 by… Keep Reading

Why does the coincident relationship between U.S. aggregate corporate earnings growth and stock market return change from negative in older research to positive in recent research? In their January 2020 paper entitled “Assessing the Structural Change in the Aggregate Earnings-Returns Relation”, Asher Curtis, Chang‐Jin Kim and Hyung Il Oh examine when the change in the… Keep Reading

Below is a weekly summary of our research findings for 3/9/20 through 3/13/20. 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.

“Verification Tests of the Smart Money Indicator” reports performance results for a specific version of the Smart Money Indicator (SMI) stocks-bonds timing strategy, which exploits differences in futures and options positions in the S&P 500 Index, U.S. Treasury bonds and 10-year U.S. Treasury notes between institutional investors (smart money) and retail investors (dumb money). Do… Keep Reading

Below is a weekly summary of our research findings for 3/2/20 through 3/6/20. 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.

Is the concept of emergent social behaviors useful in investing and trading? In his January 2020 address to the American Finance Association entitled “Social Transmission Bias in Economics and Finance”, David Hirshleifer discusses social economics and finance, a new field that examines how social processes shape economic and financial behaviors. This field is distinct from:… Keep Reading