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Investing Research Articles

3272 Research Articles

Weekly Summary of Research Findings: 1/9/23 – 1/13/23

Below is a weekly summary of our research findings for 1/9/23 through 1/13/23. 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.

Stock Neighborhood Momentum Effect

Can investors make the stock return momentum effect stronger/more reliable by isolating stocks for which many similar stocks exhibit very strong or very weak past returns? In his December 2022 paper entitled “Neighbouring Assets”, Sina Seyfi explores this question by sorting stocks based on average past returns of other stocks with the most similar sets… Keep Reading

Inflation Forecast Update

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for December 2022. The actual total (core) inflation rate is lower than (slightly higher than) forecasted.

Peer-reviewed, Theory-supported Research Better?

If a published theory is correct, its empirical results should hold for years after original test samples end. Are peer-reviewed, theory-supported (risk-based) academic studies of stock return predictors thereby superior to other streams of predictor research, and thereby especially useful to investors? In their December 2022 paper entitled “Peer-Reviewed Theory Does Not Help Predict the… Keep Reading

New Technology Exposure and Stock Returns

Do stocks with high exposures to new technologies outperform? In her December 2022 paper entitled “New Technologies and Stock Returns”, Jinyoung Kim examines future returns of stocks with relatively high exposures to new technologies as measured via patent analysis. Each June, she applies machine learning to both textual and citation information to detect technology areas… Keep Reading

Avoiding Options Expiration Week

A subscriber requested confirmation that a strategy of holding SPDR S&P 500 ETF Trust (SPY) at all times except options expiration week beats holding SPY all the time. To investigate, we look at holding SPY at all times except from the close on the second Friday of each month to the close on the third… Keep Reading

Which Professional Traders Win?

What is the critical success factor for experienced traders? In their December 2022 paper entitled “Strategic Sophistication and Trading Profits: An Experiment with Professional Traders”, Marco Angrisani, Marco Cipriani and Antonio Guarino compare results from a competitive trading game, a competitive guessing game and individual cognitive/risk preference/personality tests to determine what characteristics most strongly relate… Keep Reading

Weekly Summary of Research Findings: 1/3/23 – 1/6/23

Below is a weekly summary of our research findings for 1/3/23 through 1/6/23. 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.

Human Passions and Asset Volatility

How should investors think about, and perhaps exploit, asset return volatility? In his December 2022 paper entitled “A Stylized History of Volatility”, Emanuel Derman reviews how generations of financial modelers have quantified volatility and ultimately created tradable volatility-based assets. He also discusses some general modeling considerations. Based on the body of research and his experience,… Keep Reading

Bitcoin Trend Predicts U.S. Stock Market Return?

A subscriber asked about an assertion that bitcoin (BTC) price trend/return predicts return of the S&P 500 Index (SP500). To investigate, we relate BTC returns to SP500 returns at daily, weekly and monthly frequencies. We rationalize the different trading schedules for these two series by excluding BTC trading dates that are not also SP500 trading… Keep Reading