Can large language models (LLMs) mimic expert economic forecasters? In their December 2024 paper entitled “Simulating the Survey of Professional Forecasters”, Anne Hansen, John Horton, Sophia Kazinnik, Daniela Puzzello and Ali Zarifhonarvar employ a set...
Do stock-by-stock return forecasts from deep learning produce an exploitable aggregate equity risk premium (ERP) forecast? In the January 2025 revision of their paper entitled “The Aggregated Equity Risk Premium”, Vitor Azevedo, Christoph Riedersberger and...
Does the conventional rule (inferred from 1926-1992 U.S. stocks and bonds data) that retirees can safely withdraw an inflation-adjusted 4% from their retirement accounts annually for at least 30 years hold, after accounting for market...
Below is a weekly summary of our research findings for 2/18/25 through 2/21/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Would using a rolling, rather than an inception-to-date (ITD), lookback window for calibration of the Best Value and Weighted versions of the “Simple Asset Class ETF Value Strategy” (SACEVS) improve their performances? SACEVS allocates funds...
Can traders generate attractive returns by frontrunning orders of large funds as they predictably rebalance from past winning asset classes to past losing asset classes? In their January 2025 paper entitled “The Unintended Consequences of...
What do expectations for Bitcoin supply and demand imply for the future trajectory of its price? In the January 2025 revision of their paper entitled “A Supply and Demand Framework for Bitcoin Price Forecasting”, Murray...
Can investors get a trading edge from CME FedWatch, which tracks probabilities of changes to the Federal Funds Rate (FFR) at future FOMC meetings based on the prices of 30-day Fed Funds futures contracts? In...
Below is a weekly summary of our research findings for 2/10/25 through 2/14/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can large language models (LLM) handle complex financial reasoning tasks that require multi-step logic, market knowledge and regulatory adherence? In his December 2024 paper entitled “Large Language Models in Finance: Reasoning”, Miquel Noguer I Alonso...
“Daily Global Investor Sentiment” discusses the risk-on/risk-off (RORO) index as a measure of global investor risk appetite, with the underlying dataset publicly available. Can investors exploit this dataset for short-term timing of investments in stocks...
Can a multifaceted measure of investor sentiment convincingly predict returns? In their November 2024 paper entitled “Risk-on/Risk-off: Measuring Shifts in Investor Sentiment”, flagged by a subscriber, Anusha Chari, Karlye Stedman and Christian Lundblad explore risk-on/risk-off...
Why do many retail investors stick with high-cost, full-service brokers? In their January 2025 paper entitled “Fee Awareness and Brokerage Choice”, Gregory Eaton, Steven Malliaris and Miguel Puertas survey a sample of retail customers of...
Below is a weekly summary of our research findings for 2/3/25 through 2/7/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is stock price all-time high a consistently effective trigger for trend following? In their January 2025 paper entitled “Does Trend-Following Still Work on Stocks?”, Carlo Zarattini, Alberto Pagani and Cole Wilcox revisit and extend the...
How can investors estimate the value of musical assets as an alternative investment? In their January 2025 paper entitled “Pricing Music Royalty Assets”, Luis Villalobos, Yuao Peng, Ananya Mohapatra, Caroline He, Tiffany Filawo, Sasha Stoikov...
Can fund managers, and thereby individual investors, reliably exploit academic research on equity factors? In his January 2025 paper entitled “Do Factor Strategies Beat the Market?”, Edward McQuarrie reviews differences between the results of academic...
Recent research in accounting and finance finds that large language models (LLM) beat humans on a variety of related tasks, but the black box nature of LLMs obscures why. Is LLM outperformance real? In his...
Do annual stock picks from the Meta AI large language model beat the market? To investigate, we ask Meta AI to pick the top 10 stocks for each of 2020-2024 based on information available only...
Below is a weekly summary of our research findings for 1/27/25 through 1/31/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do annual stock picks from the ChatGPT large language model beat the market? To investigate, we ask ChatGPT to pick the top 10 stocks for each of 2020-2024 based on information available only before each...
How can researchers ensure that large language models (LLM), when tasked with time series forecasting, do not inject look-ahead bias and thereby inflate measured predictive power? In his brief November 2024 paper entitled “Look-Ahead Bias...
A reader asked: “I am wondering how come you have not rated Motley Fool guys. Any insight?” To augment the test of Motley Fool public stock picks in “‘Buy These Stocks for 2019’ Forward Test”,...
Below is a weekly summary of our research findings for 1/21/25 through 1/24/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Generative large language models (LLM), such as ChatGPT, are best known for conversational summation of complex information. Their use in financial forecasting focuses on discrete news sentiment signals of positive (1), neutral (0) or negative...