Investing Research Articles

Below is a weekly summary of our research findings for 12/23/19 through 12/27/19. 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.

Which equity factors truly explain stock returns, and what group of them constitute the best model? In their November 2019 paper entitled “Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models”, Svetlana Bryzgalova, Jiantao Huang and Christian Julliard present a Bayesian estimation and model selection method for pricing of stock portfolios that… Keep Reading

What is the best way to balance crash protection and false alarms for intrinsic, also called absolute or time series, momentum strategies that are long (short) an asset when its return over a specified past interval is positive (negative)? In their November 2019 paper entitled “Momentum Turning Points”, Ashish Garg, Christian Goulding, Campbell Harvey and… Keep Reading

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 the S&P 500 Index during the five trading days before and the five trading days after the holiday. Using daily… Keep Reading

Based on the conventional definition of the value premium, value underperforms growth over last 12 years with maximum drawdown of a long value-short growth portfolio -39%. Is value investing dead? In their December 2019 paper entitled “Reports of Value’s Death May Be Greatly Exaggerated”, Robert Arnott, Campbell Harvey, Vitali Kalesnik and Juhani Linnainmaa examine arguments… Keep Reading

Below is a weekly summary of our research findings for 12/16/19 through 12/20/19. 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 retail trading a reliable driver of U.S. stock momentum? In his November 2019 paper entitled “Retail Trading and Momentum Profitability”, Douglas Chung investigates interactions across stocks between current proportion of retail trading and future momentum returns. Specifically, for each month and for each of two recent stock samples, he: Sorts stocks into fifths (quintiles)… Keep Reading

A subscriber suggested comparing intrinsic momentum (IM), also called absolute momentum and time series momentum, to simple moving average (SMA) as alternative signals for equity market entry and exit. To investigate across a wide variety of economic and market conditions, we measure the long run performances of entry and exit signals from IMs over past… Keep Reading

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 500 Index during five trading days before through five trading days after the holiday. Using daily closing levels of the… Keep Reading

Do both the long and short sides of portfolios used to quantify widely accepted equity factors benefit investors? In their November 2019 paper entitled “When Equity Factors Drop Their Shorts”, David Blitz, Guido Baltussen and Pim van Vliet decompose and analyze gross performances of long and short sides of U.S. value, momentum, profitability, investment and… Keep Reading