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Investing Research Articles

3151 Research Articles

Update on Demographics and the Stock Market

“Return-based Analysis of Demographics as Stock Market Predictor”, building on formal research summarized in “Demographic Headwind for U.S. Stock Market?” and “Classic Research: Demography and the Stock Market”, looks at interactions between U.S. age demographics and U.S. stock market behavior. What does adding a decade of data say? To investigate we look at interactions between:… Keep Reading

NFT Return Behaviors

What are the return behaviors of non-fungible tokens (NFT), which employ blockchain technology to convey ownership of unique digital or physical items? In their March 2022 paper entitled “The Economics of Non-Fungible Tokens”, Nicola Borri, Yukun Liu and Aleh Tsyvinski assemble a comprehensive dataset of NFT transactions (including digital art/media and objects related to virtual… Keep Reading

Weekly Summary of Research Findings: 3/28/22 – 4/1/22

Below is a weekly summary of our research findings for 3/28/22 through 4/1/22. 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 Market Valuation Ratio Trends

To determine whether the stock market is expensive or cheap, some experts use aggregate valuation ratios, either trailing or forward-looking, such as earnings-price ratio (E/P) and dividend yield. Under belief that such ratios are mean-reverting, most imminently due to movement of stock prices, these experts expect high (low) future stock market returns when these ratios… Keep Reading

Intrinsic Momentum or SMA for Avoiding Crashes?

A subscriber suggested comparing intrinsic momentum (IM), also called absolute momentum and time series momentum, to simple moving average (SMA) as alternative signals for equity market entry and exit. To investigate across a wide variety of economic and market conditions, we measure the long run performances of entry and exit signals from IMs over past… Keep Reading

A Slinky (Short-term Reversion) Effect?

Do often frenzied investors/traders tend to overdo buying and selling, coming to their senses shortly thereafter? In other words, does the broad U.S. stock market tend to revert after short-term moves up or down? To check, we relate sequential past and future return intervals of 1, 2, 3, 5, 10, 15 and 21 trading days…. Keep Reading

Stock Market Reaction to FOMC Meeting Minutes Releases

Does the U.S. stock market reliably exhibit extreme behavior on days (mid-afternoon) when the Federal Open Market Committee (FOMC) of the Federal Reserve Board issues its meeting minutes? Might the minutes be systematically encouraging, discouraging, calming or exciting? Using release dates for these minutes and contemporaneous daily open, high, low and close levels of the S&P 500… Keep Reading

Trading Around Option Expiration Days

Are there anomalies for U.S. stock market returns around equity option expiration (OE) days (normally the third Friday of each month, but the preceding Thursday when the market is closed on the third Friday)? To investigate, we examine close-to-close S&P 500 Index returns from five trading days before through five trading days after a moderately… Keep Reading

Weekly Summary of Research Findings: 3/21/22 – 3/25/22

Below is a weekly summary of our research findings for 3/21/22 through 3/25/22. 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.

Variability of U.S. Stock Market Returns

How should the variability of stock market returns shape the outlooks of short-term traders and long-term investors? How strong is the tailwind of the general drift upward in stock prices? How powerful is the turbulence of variability? Does the tailwind ever overcome the turbulence? To investigate we consider all holding periods for the S&P 500… Keep Reading