Investing Research Articles

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for December 2025. The actual total (core) inflation rate is about the same as (about the same as) forecasted. We have...

Does lack of critical assessment of cause and effect undermine reliability of findings in scientific research? In his December 2025 presentation package entitled “Investment Lessons from Cosmology: Draw Your Assumptions Before Your Conclusions”, Marcos Lopez...

Time-series momentum (TSMOM) is a well-documented finding that past returns predict next-period returns for many asset types. Is the relationship between past and future performance linear? In their December 2025 paper entitled “Nonlinear Time Series...

Below is a weekly summary of our research findings for 1/5/26 through 1/9/26. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

A Securities Information Processor (SIP) aggregates quotes and trades from all U.S. stock exchanges to feed the NYSE Trade and Quote (TAQ) database, used in much finance research to (for example) estimate effective bid-ask spreads...

Most researchers use classical statistical testing, with a t-statistic of 2.0 as the significance threshold for accepting an hypothesis. However, this threshold is valid only if the associated p-value derives from a single test. There...

How sensitive are multi-class asset allocation strategies to variations in backtesting choices? In their December 2025 paper entitled “The Multiverse Across Asset Classes: Design Uncertainty in Asset Allocations”, Arnaud Battistella, Jean-Charles Bertrand, Guillaume Coqueret and...

Is Bitcoin a scarce, valuable asset or a Ponzi scheme? In his December 2025 paper entitled “The Great Bitcoin Debate: Saylor’s Maximalism Versus Schiff’s Monetary Traditionalism”, David Krause examines the debate between Bitcoin maximalists (represented...

“Dominant U.S. Stock Market?” summarizes a paper that (1) examines whether a 60%+ allocation to the U.S. in the MSCI All Country World Index (ACWI) is crazy high and (2) decides maybe not. In “How...

Below is a weekly summary of our research findings for 12/29/25 through 1/2/26. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

As of November 2025, the MSCI All Country World Index (ACWI) allocates about 65% to U.S. stocks. Is this allocation to a single country crazy high? In the November 2025 revision of their brief paper...

Can investors holding gold as inflation hedge/equity crash protection improve performance of this position by holding gold (silver) when the gold-to-silver ratio is relatively low (high)? To investigate, we track the ratio of SPDR Gold...

What criteria do individual investors use when deciding which stocks to acquire? In their December 2025 paper entitled “How Investors Pick Stocks: Global Evidence from 1,540 AI-Driven Field Interviews”, Byoung-Hyoun Hwang, Don Noh and Sean...

Prior research suggests that machine learning factor models of the cross section of stock returns greatly enhance portfolio performance by: (1) expanding the dataset to include more variables; and, (2) allowing more complex (non-linear) variable...

Below is a weekly summary of our research findings for 12/22/25 through 12/26/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

In response to our inquiry about Goldman Sachs Panic Index data, Grok responded that the data are proprietary and unavailable. However, Grok offered “several high-quality public proxies and near-replicas…built by traders and quants using only...

Does the New Year’s Day holiday, a time of replanning and income tax positioning, systematically affect investors in a way that translates into U.S. stock market returns? To investigate, we analyze the historical behavior of...

Should measures of long-term investment performance incorporate ways in which typical individual investors handle their portfolios over a lifetime rather than an idealized perspective such as buy-and-hold with all distributions reinvested? In his December 2025...

How should researchers apply and restrict artificial intelligence (AI) in research? In the December 2025 revision of their editorial entitled “The Use of AI in Academic Research”, Gordon Graham and Jennifer Tucker share experiences as...

Below is a weekly summary of our research findings for 12/15/25 through 12/19/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Can Grok extract a useful weekly U.S. stock market sentiment metric from posts on X? To investigate, we ask Grok to each week for two years aggregate weekly U.S. stock market sentiment looking for at...

How sensitive is performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS) to choice of momentum calculation lookback interval, and what interval works best? To investigate, we generate gross compound annual growth rates (CAGR) and...

Does the Christmas holiday, a time of putative good will toward all, give U.S. stock investors a sense of optimism that translates into stock returns? To investigate, we analyze the historical behavior of the S&P...

How can typical investors/managers rigorously translate their views on factor/style and sector/theme exposures into a portfolio of exchange-traded funds (ETF). In their November 2025 paper entitled “Implementing Systematic Risk Premia, Factor-Based Strategies, and Sector Rotation...

Does lack of liquidity among stocks in anomaly portfolios effectively block exploitation? In their November 2025 paper entitled “Liquidity Constraints and the Illusion of Anomaly Profitability”, Álvaro Cartea, Mihai Cucuringu, Qi Jin and Jiexiu Zhu...