Investing Research Articles

Is following the lead of certain types of equity investors as effective as using widely accepted factor models of stock returns? In their March 2021 paper entitled “What Do the Portfolios of Individual Investors Reveal About the Cross-Section of Equity Returns?”, Sebastien Betermier, Laurent Calvet, Samuli Knüpfer and Jens Kvaerner construct a factor model of… Keep Reading

Does Warren Buffett consistently keep Berkshire Hathaway in market-beating form? If so, how does he do it? In his annual letters to stockholders, he includes company performance and benchmark data and describes in general terms how he goes about investing. He sometimes shares his thoughts on the current state of and prospects for the U.S…. Keep Reading

Below is a weekly summary of our research findings for 3/8/21 through 3/12/21. 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 leveraging with margin a good way to boost the performance of the “Simple Asset Class ETF Value Strategy” (SACEVS)? To investigate effects of margin, we augment SACEVS by: (1) initially applying 2X leverage via margin (limited by Federal Reserve Regulation T); (2) for each month with a positive portfolio return, adding margin at the end… Keep Reading

Is leveraging with margin a good way to boost the performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS)? To investigate effects of margin, we augment SACEMS by: (1) initially applying 2X leverage via margin (limited by Federal Reserve Regulation T); (2) for each month with a positive portfolio return, adding margin at the… Keep Reading

How has the market environment changed with the introduction of zero-commission trading and associated interest in trading among many inexperienced users? In their January 2021 paper entitled “Zero-Commission Individual Investors, High Frequency Traders, and Stock Market Quality”, Gregory Eaton, Clifton Green, Brian Roseman and Yanbin Wu examine market implications of growth in trading by a… Keep Reading

How can the retail trader tail wag the market dog? In their February 2021 paper entitled “The Equity Market Implications of the Retail Investment Boom”, Philippe van der Beck and Coralie Jaunin quantify impacts of the Robinhood-catalyzed retail trading boom on the U.S. stock market. They focus on the early part of the COVID-19 pandemic,… Keep Reading

Under current U.S. accounting rules, many investments in innovation, human resources and brand that are crucial to long-term competitiveness immediately reduce operating profits and earnings (are expensed rather than capitalized). Does failure to incorporate such intangible investments in firm investment and valuation ratios (book-to-market, profitability and return on equity) harm equity investment decisions? In their… Keep Reading

Below is a weekly summary of our research findings for 3/1/21 through 3/5/21. 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.

Do negative environmental, social and governance (ESG) incidents (environmental pollution, poor employment conditions or anti-competitive practices) indicate poor firm management and therefore underperforming stocks? In his February 2021 paper entitled “ESG Incidents and Shareholder Value”, Simon Glossner analyzes ESG incident data to determine whether: (1) history is predictive of future ESG incidents; (2) high incident… Keep Reading