Do options of individual stocks exhibit momentum and seasonality patterns? In their November 2020 paper entitled “Momentum, Reversal, and Seasonality in Option Returns”, Christopher Jones, Mehdi Khorram and Haitao Mo investigate momentum and seasonality effects...
Is the currency carry trade, as implemented by exchange-traded funds/notes (ETF/ETN), attractive? To investigate, we consider two currency carry trade ETF/ETNs, one live (with low trading volume) and one dead: PowerShares DB G10 Currency Harvest...
Below is a weekly summary of our research findings for 11/30/20 through 12/4/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do stocks with high borrowing costs (loan fees) exhibit predictably low short-term returns? In their November 2020 paper entitled “Borrowing Fees and Expected Stock Returns”, Kaitlin Hendrix and Gavin Crabb explore whether stock loan fees...
Does crude oil (an important part of commodity indexes) exhibit an exploitable price seasonality? To check, we examine three monthly series: Spot prices for West Texas Intermediate (WTI) Cushing, Oklahoma crude oil since the beginning...
How connected are principal measures of U.S. economic activity and U.S. stock market performance? In their October 2020 paper entitled “Has the Stock Market Become Less Representative of the Economy?”, Frederik Schlingemann and René Stulz...
Below is a weekly summary of our research findings for 11/23/20 through 11/27/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How are attitudes toward Bitcoin as an investment evolving? In their October 2020 survey report entitled “Comparing Public Bitcoin Adoption Rates in 2020 vs 2017”, the Tokenist summarizes findings from a survey using the same...
Do differences in equity sector responses to stock market crashes (and associated volatility spikes) support an exploitably attractive sector rotation strategy? In the November 2020 update of his paper entitled “Actively Using Passive Sectors to...
Do stocks with high borrowing costs reliably underperform? In their October 2020 paper entitled “The Loan Fee Anomaly: A Short Seller’s Best Ideas”, Joseph Engelberg, Richard Evans, Gregory Leonard, Adam Reed and Matthew Ringgenberg examine...
Below is a weekly summary of our research findings for 11/16/20 through 11/20/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Market Impacts of Growth in Target Date Funds” summarizes research on potential market-wide effects of periodic rebalancing actions of Target Date Funds (TDF), which trade against momentum. One piece of evidence is that monthly autocorrelation...
Are aggregate periodic stocks-bonds rebalancing actions of Target Date Funds (TDF), which trade against momentum, increasingly affecting U.S. stock market dynamics? In their October 2020 paper entitled “Retail Financial Innovation and Stock Market Dynamics: The...
Does the U.S. stock market respond predictably to simultaneous earnings announcements of attention-grabbing companies? In their September 2020 paper entitled “Famous Firms, Earnings Clusters, and the Stock Market”, Yixin Chen, Randolph Cohen and Zixuan Wang...
Below is a weekly summary of our research findings for 11/9/20 through 11/13/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is aggregate U.S. stock market value sensitive to flows of new funds (inelastic)? In their October 2020 paper entitled “In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis”, Xavier Gabaix and Ralph...
Does technology amplify adverse herding among inexperienced investors? In their October 2020 paper entitled “Attention Induced Trading and Returns: Evidence from Robinhood Users”, Brad Barber, Xing Huang, Terrance Odean and Christopher Schwarz test the relationship...
Has growth in the importance of intangible (knowledge) assets versus real assets undermined usefulness of the conventional equity value premium (based only on the latter)? In her September 2020 paper entitled “Intangibles: The Missing Ingredient...
A subscriber requested, as in “Combine Market Trend and Economic Trend Signals?”, testing of a strategy that combines: (1) U.S. Economic Policy Uncertainty (EPU) Index, as described and tested separately in “Economic Policy Uncertainty and...
Below is a weekly summary of our research findings for 11/2/20 through 11/6/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do non-professional analysts who publish on Seeking Alpha offer valuable stock-picking advice? In their August 2020 paper entitled “The Cross-Section of Non-Professional Analyst Skill”, Michael Farrell, Russell Jame and Tian Qiu measure skill among such...
A subscriber requested testing of a dual simple moving average (SMA) crossover strategy that holds SPDR S&P 500 (SPY) when its 30-day SMA (SMA30d, using 30 trading days) is above its 9-month SMA (SMA9m) and...
Benford’s law states that the probability of the value of the first digit in many naturally occurring samples of numbers, including asset prices, varies inversely with digit magnitude. For example, the number 1 (9) appears...
Below is a weekly summary of our research findings for 10/26/20 through 10/30/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is there a way to restore confidence in a value premium? In their September 2020 paper entitled “Resurrecting the Value Premium”, David Blitz and Matthias Hanauer seek a reliable value premium via three adjustments to...