Below is a weekly summary of our research findings for 8/29/22 through 9/2/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do brokers who accept payments for order flow (PFOF) pass this income through to customers in the form of cheaper trade execution? In his June 2022 paper entitled “Price Improvement and Payment for Order Flow:...
Does the U.S. stock market respond predictably to Federal Open Market Committee (FOMC) announcements, typically released between 14:00 and 14:20 EST? In the August 2022 version of their paper entitled “The FOMC Announcement Reversal”, Tommaso...
Do brokers do better for clients than the bid (ask) when executing market sell (buy) orders? Which ones do best? In their August 2022 paper entitled “The ‘Actual Retail Price’ of Equity Trades”, Christopher Schwarz,...
Below is a weekly summary of our research findings for 8/22/22 through 8/26/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What kind of firm growth should long-term investors value most? In his August 2022 paper entitled “The Role of Net Income Growth in Explaining Long-Horizon Stock Returns”, Hendrik Bessembinder relates decade compound stock returns to...
A subscriber asked about frequency, magnitude and duration of bear market rallies. To investigate, we employ the S&P 500 Index and consider three ways to define a bear market: From the day the index is...
Is the gap between the yield on the 10-year constant maturity U.S. Treasury note (T-note) and the 10-Year breakeven inflation rate (a measure of expected inflation over the next 10 years derived from T-note yield...
Does the sentiment expressed by major newspapers about the economy usefully predict stock market returns? To investigate, we employ the Daily News Sentiment Index, constructed from “economics-related news articles from 24 major U.S. newspapers [across]...
Below is a weekly summary of our research findings for 8/15/22 through 8/19/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber suggested testing SentimenTrader’s Dumb Money Confidence model “that incorporates more than a dozen indicators that have a track record of cycling to extremes, and equating with ebbs and flows in sentiment among broad...
Which variables deserve greatest focus when predicting stock market returns? In their July 2022 paper entitled “Searching for the Best Conditional Equity Premium Model”, Hui Guo, Saidat Sanni and Yan Yu exhaustively explore combinations of...
Below is a weekly summary of our research findings for 8/8/22 through 8/12/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber asked whether a rapid, large (20% or more) individual country currency devaluation versus the U.S. dollar indicates that the country’s stock market will rise the next quarter (with country exports presumably more competitive...
How sensitive are findings about the magnitude and reliability of equity factor premiums to differences in the rules researchers use in sorting stocks to calculate them? In their July 2022 paper entitled “Non-Standard Errors in...
Can investors achieve attractive asset class momentum strategy performance by applying slow relative momentum to different risk-on (offensive) and risk-off (defensive) sets of exchange-traded funds (ETF), and fast absolute momentum to a separate risk mode...
A subscriber asked whether there are any lead-lag relationships between gold, proxied by SPDR Gold Shares (GLD), and 10-year U.S. Treasury note (T-note) yields. As a proxy for the latter, we use iShares 7-10 Year...
Below is a weekly summary of our research findings for 8/1/22 through 8/5/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is past rolling maximum drawdown, a simple measure of recent downside risk, a useful indicator of future mutual fund performance? In their June 2022 paper entitled “Maximum Drawdown as Predictor of Mutual Fund Performance and...
Why have inflation, economic uncertainty and geopolitical uncertainty not driven up the price of gold? In their brief May 2022 commentary entitled “Why Isn’t the Gold Price Higher?”, Paul Gambles and James Fraser review the...
Do presumably expert early-stage startup investors, whether individuals (Angels) or institutions (Venture Capitalists) invest efficiently? In his June 2022 paper entitled “Predictably Bad Investments: Evidence from Venture Capitalists”, Diag Davenport applies machine learning methods based...
Below is a weekly summary of our research findings for 7/25/22 through 7/29/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do individual investors who chase stocks with high recent returns benefit from momentum or suffer from reversal? In their June 2022 paper entitled “Who Chases Returns? Evidence from the Chinese Stock Market”, Weihua Chen, Shushu...
Do the Best Brands, as published annually by Interbrand based on net present value of predicted incremental earnings due to brand, offer superior investment performance due to pricing power and superior operating practices? In their June...
Below is a weekly summary of our research findings for 7/18/22 through 7/22/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...