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Investing Research Articles

3542 Research Articles

Distinct and Predictable U.S. and ROW Equity Market Cycles?

A subscriber asked: “Some pundits have noted that U.S. stocks have greatly outperformed foreign stocks in recent years. What does the performance of U.S. stocks vs. foreign stocks over the last N years say about future performance?” To investigate, we use the S&P 500 Index (SP500) as a proxy for the U.S. stock market and… Keep Reading

Consumer Inflation Expectations Predictive?

A subscriber noted and asked: “Michigan (at one point) claimed that the inflation expectations part of their survey of consumers was predictive. That was from a paper long ago. I wonder if it is still true.” To investigate, we relate monthly “Expected Changes in Prices” (expected annual inflation) from the monthly University of Michigan Survey… Keep Reading

Money Velocity and the Stock Market

In response to “Money Supply (M2) and the Stock Market”, a subscriber commented: “I’ve always thought…that both M2 and velocity were needed. If there’s more money, but it is not circulating, then it doesn’t have a chance to have much impact. That’s the situation we have right now for the most part.” The Federal Reserve… Keep Reading

Money Supply (M1) and the Stock Market

in response to “Money Supply (M2) and the Stock Market”, A reader commented: “M2 cannot be an accurate money supply measure because it includes non-cash investments such as money market mutual funds. When the stock market corrects and people are exchanging stocks for say, money market mutual fund shares, the M2 figure will actually increase…. Keep Reading

Weekly Summary of Research Findings: 5/28/24 – 5/31/24

Below is a weekly summary of our research findings for 5/28/24 through 5/31/24. 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.

Money Supply (M2) and the Stock Market

Some investing experts cite change in money supply as a potentially important driver of future stock market behavior. When money supply grows (shrinks), they theorize, nominal asset prices tend to go up (down). Or conversely, money supply growth drives inflation, thereby elevating discount rates and depressing equity valuations. One measure of money supply is M2… Keep Reading

Complex Intraday Time Series Momentum Strategy Applied to SPY

Is intraday time series momentum of a very liquid exchange-traded fund (ETF) such as SPDR S&P 500 ETF Trust (SPY) exploitable? In their May 2024 paper entitled “Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)”, Carlo Zarattini, Andrew Aziz and Andrea Barbon iteratively construct and test a SPY intraday time series… Keep Reading

Are IPO ETFs Working?

Are exchange-traded funds (ETF) focused on Initial Public Offerings of stocks (IPO) attractive? To investigate, we consider three of the largest IPO ETFs and one recent Special Purpose Acquisition Company (SPAC) ETF, one of which is no longer available, in order of longest to shortest available histories: First Trust US Equity Opportunities ETF (FPX) –… Keep Reading

Correlations of Stock and Bond Returns Globally

How should investors think about the correlation between stock market returns and bond market returns when constructing a diversified portfolio? In their April 2024 paper entitled “Stock-Bond Correlation: Theory & Empirical Results”, Lorenzo Portelli and Thierry Roncalli examine theoretical and empirical relationships between the stocks-bonds return correlation and other variables/conditions. They focus on: Monthly returns… Keep Reading

Weekly Summary of Research Findings: 5/20/24 – 5/24/24

Below is a weekly summary of our research findings for 5/20/24 through 5/24/24. 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.