Investing Research Articles

Are broad measures of public sociopolitical sentiment relevant to investors? Do they predict stock returns as indicators of exuberance and fear? To investigate, we relate S&P 500 Index return and 12-month trailing S&P 500 price-operating earnings ratio (P/E) to the percentage of respondents saying “yes” to the recurring Gallup polling question: “In general, are you… Keep Reading

Is there an exploitable way to find which stocks lead and which stocks lag in returns? In their October 2023 paper entitled “Detecting Lead-Lag Relationships in Stock Returns and Portfolio Strategies”, Álvaro Cartea, Mihai Cucuringu and Qi Jin test three ways to measure and exploit linear and non-linear lead-lag relationships in individual stock returns via… Keep Reading

Below is a weekly summary of our research findings for 11/27/23 through 12/1/23. 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.

Can the large language model GPT-4 help investors make investment decisions? In their October 2023 paper entitled “Can ChatGPT Assist in Picking Stocks?”, Matthias Pelster and Joel Val conduct a live test during the 2023 second quarter earnings announcements of the value and timeliness of investment advice from GPT-4 augmented with WebChatGPT for internet access…. Keep Reading

“SACEMS with Margin” investigates the use of target 2X leverage via margin to boost the performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS). “SACEVS with Margin” investigates the use of target 2X leverage via margin to boost the performance of the “Simple Asset Class ETF Value Strategy” (SACEVS). In response, a subscriber requested a sensitivity test of 1.25X,… Keep Reading

How do exchange-traded-funds (ETF) focused on Treasury Inflation-Protected Securities (TIPS) perform? To investigate, we consider ten of the largest TIP ETFs, all currently available, as follows: iShares TIPS (TIP) Schwab U.S. TIPS (SCHP) Vanguard Short-Term Inflation-Protected Securities (VTIP) iShares 0-5 Year TIPS (STIP) SPDR Portfolio TIPS (SPIP) FlexShares iBoxx 3-Year Target Duration TIPS Index (TDTT)… Keep Reading

Is leveraging with margin a good way to boost the performance of the “Simple Asset Class ETF Value Strategy” (SACEVS)? To investigate effects of margin, we augment SACEVS by: (1) initially applying 2X leverage via margin (limited by Federal Reserve Regulation T); (2) for each month with a positive portfolio return, adding margin at the end… Keep Reading

Is leveraging with margin a good way to boost the performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS)? To investigate effects of margin, we augment SACEMS by: (1) initially applying 2X leverage via margin (limited by Federal Reserve Regulation T); (2) for each month with a positive portfolio return, adding margin at the… Keep Reading

Below is a weekly summary of our research findings for 11/20/23 through 11/24/23. 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.

Can large language models (LLM) such as ChatGPT and GPT-4 pass the Chartered Financial Analyst (CFA) exam, which covers fundamentals of investment tools, asset valuation, portfolio management and wealth planning? In their October 2023 paper entitled “Can GPT models be Financial Analysts? An Evaluation of ChatGPT and GPT-4 on Mock CFA Exams”, Ethan Callanan, Amarachi… Keep Reading