Investing Research Articles

What are current estimates of equity risk premiums (ERP) and risk-free rates around the world? In their April 2023 paper entitled “Survey: Market Risk Premium and Risk-Free Rate used for 80 countries in 2023”, Pablo Fernandez, Diego García de la Garza and Javier Acin summarize results of a March 2023 email survey of international economic… Keep Reading

A subscriber requested evaluation of Investment Advisory Service stock picking ability based on a sample newsletter obtained in mid-April 2023. The offerors state that they follow “a sound, buy-and-hold approach to identifying well-managed, high-quality companies” that “highlights emerging and oft-overlooked stocks with excellent growth potential and reasonable valuations.” The sample newsletter, dated January 2022, includes… Keep Reading

Below is a weekly summary of our research findings for 4/24/23 through 4/28/23. 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.

A subscriber asked about the performance of a variation of the monthly reformed 50-50  Simple Asset Class ETF Value Strategy (SACEVS) Best Value-Simple Asset Class ETF Momentum Strategy (SACEMS) Equal-Weighted (EW) Top 2 combination that substitutes 100% SACEMS EW Top 2 whenever both: SPDR S&P 500 ETF Trust (SPY) is the selection for SACEVS Best Value at the… Keep Reading

Should individuals who trade zero-days-to-expiration (0DTE) S&P 500 Index options expect to make money? In their March 2023 paper entitled “Retail Traders Love 0DTE Options… But Should They?”, Heiner Beckmeyer, Nicole Branger and Leander Gayda examine performance of retail 0DTE S&P 500 Index option trades. They focus on effects of the introduction of daily expirations… Keep Reading

Referring to “Turn-of-the-Month Effect Persistence and Robustness”, a subscriber asked about applying the Turn-of-the-Month (TOTM) effect to ProShares Ultra S&P500 (SSO).  As in the referenced research, we define TOTM as the interval from the close five trading days before to the close four trading days after the last trading day of the month (a total… Keep Reading

Can advanced natural language processing models such as ChatGPT extract sentiment from firm news headlines that usefully predicts associated next-day stock returns? In their April 2023 paper entitled “Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models”, Alejandro Lopez-Lira and Yuehua Tang test the ability of ChatGPT to predict next-day returns of… Keep Reading

A subscriber asked whether the Simple Asset Class ETF Momentum Strategy (SACEMS) exhibits monthly calendar effects. In investigating, we also look at the Simple Asset Class ETF Value Strategy (SACEVS)? We consider the Best Value (most undervalued asset) and Weighted (assets weighted by degree of undervaluation) versions of SACEVS. We consider the Top 1, equal-weighted (EW)… Keep Reading

Below is a weekly summary of our research findings for 4/17/23 through 4/21/23. 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.

In response to “Measuring the Size Effect with Capitalization-based ETFs” and in view of the research summarized in “Quality-enhanced Size Effect”, a subscriber suggested using either iShares Core S&P Small-Cap ETF (IJR) or Vanguard S&P Small-Cap 600 Index Fund (VIOO) in place of iShares Russell 2000 ETF (IWM) as a proxy for small stocks. The… Keep Reading