Investing Research Articles

How do crypto-asset prices interact with conventional market risks, monetary policy and crypto-specific factors? In their July 2024 paper entitled “What Drives Crypto Asset Prices?”, Austin Adams, Markus Ibert and Gordon Liao investigate factors influencing crypto-asset returns using a sign-restricted, structural vector auto-regressive model. Specifically, they decompose daily Bitcoin returns into components reflecting: Monetary policy… Keep Reading

“CNN Fear and Greed Index as Return Predictor” reports findings from a draft study that the CNN Fear and Greed Index (F&G) may be useful for U.S. stock index timing. The authors of that paper generously provided their hand-collected sample of daily CNN F&G levels for 4/7/21 through 3/8/24. We partly validate and extend that… Keep Reading

Morningstar finds in “Mind the Gap” that poor timing of trades by mutual fund investors results in 1.7% annual underperformance of buy-and-hold (6.0% versus 7.7%) during 2013 through 2022. Is this finding correct? In the July 2024 draft of their paper entitled “Bad Timing Does Not Cost Investors One Fifth of Their Funds’ Returns: An… Keep Reading

Below is a weekly summary of our research findings for 8/19/24 through 8/23/24. 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 the CNN Fear and Greed Index useful for predicting asset returns? In the July 2024 draft of their paper entitled “The CNN Fear and Greed Index as a Predictor of Us Equity Index Returns”, flagged by a subscriber, Hugh Farrell and Fergal O’Connor use regressions of hand-collected data to investigate whether the index reliably… Keep Reading

Is stock price-to-earnings ratio (P/E), in aggregate or by individual stock, truly predictive of returns? In their April 2024 paper entitled “Valuing Stocks With Earnings”, Sebastian Hillenbrand and Odhrain McCarthy examine relationships between P/E and future returns at both stock index and individual stock levels. They compare generally accepted accounting principles (GAAP) earnings and an… Keep Reading

Is systematically selling covered equity put options, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider four equity put-write ETFs, two dead and two living: US Equity High Volatility Put Write (HVPW) – oriented toward individual stocks (dead). ALPS Enhanced Put Write Strategy (PUTX) – index-oriented (dead). WisdomTree PutWrite Strategy Fund (PUTW) – index-oriented (living)…. Keep Reading

Below is a weekly summary of our research findings for 8/12/24 through 8/16/24. 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.

Can investors manage cryptocurrency volatility risk with simple trend following rules? In their August 2024 paper entitled “Trend-following Strategies for Crypto Investors”, Trinh Hue Le and Ummul Ruthbah test simple trend following rules on Bitcoin (BTC), Ether (ETH) and the S&P Cryptocurrency LargeCap-Ex. MegaCap Index. Specifically, they hold the cryptocurrency (cash) when its price is… Keep Reading

Do analysts systematically ignore the connection between future firm earnings and current economic conditions? In their July 2024 paper entitled “Predicting Analysts’ S&P 500 Earnings Forecast Errors and Stock Market Returns Using Macroeconomic Data and Nowcasts”, Steven Sharpe and Antonio Gil de Rubio Cruz examine the quality of bottom-up forecasts of near-term S&P 500 earnings… Keep Reading