Economic data arrive too slowly to help investors navigate crises such as the 2019 coronavirus (COVID-19) outbreak. Are there data that support quick reactions? In their March 2020 paper entitled “Coronavirus: Impact on Stock Prices...
Below is a weekly summary of our research findings for 3/23/20 through 3/27/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Which equity factor model is best among non-U.S. global stock markets? In other words, what market/accounting variables are most important to investors screening non-U.S. stocks? In his February 2020 paper entitled “A Comparison of Global...
Has 24-hour trading of equity index futures created a reliable pattern in hour-by-hour returns? In their February 2020 preliminary paper entitled “The Overnight Drift”, Nina Boyarchenko, Lars Larsen and Paul Whelan study round-the-clock U.S. stock...
Subscribers are posing questions about the 2019 coronavirus (COVID-19) as a driver of current market conditions that are difficult to address with evidence-based analyses. Here are some questions and thoughts:
Below is a weekly summary of our research findings for 3/16/20 through 3/20/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
When the stock market close is strong (weak) relative to its daily range, does it indicate pent-up buying (selling) demand? Should one trade with or against this relative close? To investigate, we relate position of...
Does success in the U.S. equity market depend on an ever- shrinking percentage of outperforming stocks? In his February 2020 paper entitled “Wealth Creation in the U.S. Public Stock Markets 1926 to 2019”, Hendrik Bessembinder...
Why does the coincident relationship between U.S. aggregate corporate earnings growth and stock market return change from negative in older research to positive in recent research? In their January 2020 paper entitled “Assessing the Structural...
Below is a weekly summary of our research findings for 3/9/20 through 3/13/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Verification Tests of the Smart Money Indicator” reports performance results for a specific version of the Smart Money Indicator (SMI) stocks-bonds timing strategy, which exploits differences in futures and options positions in the S&P 500...
Below is a weekly summary of our research findings for 3/2/20 through 3/6/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is the concept of emergent social behaviors useful in investing and trading? In his January 2020 address to the American Finance Association entitled “Social Transmission Bias in Economics and Finance”, David Hirshleifer discusses social economics...
Does the value premium for U.S. stocks, as measured by book-to-market ratio, persist after its initial discovery/publication in 1992? In their January 2020 paper entitled “The Value Premium”, Eugene Fama and Kenneth French assess whether...
As implied in “Mirror Image Seasonality for Stocks and Treasuries?”, are bonds better than stocks during the “Sell-in-May” months of May through October? Are behaviors of government, corporate investment grade and corporate high-yield bonds over this...
Are firms that engage the public via Twitter more expanding (via exposure) or shrinking (via adverse social media frenzy) their opportunity sets? In their January 2020 paper entitled “The Social Media Risk Premium”, Amin Hosseini,...
Below is a weekly summary of our research findings for 2/24/20 through 2/28/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Monthly Rebalanced Shorting of Leveraged ETF Pairs” finds that shorting some pairs of leveraged ETFs may be attractive. How has the strategy worked recently and how sensitive are findings to execution costs? To investigate, we...
How does execution delay affect the performance of the Best Value and Weighted versions of the “Simple Asset Class ETF Value Strategy” (SACEVS)? These strategies each month allocate funds to the following asset class exchange-traded funds (ETF) according...
Below is a weekly summary of our research findings for 2/18/20 through 2/21/20. 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 requested verification of findings in “Smart Money Indicator for Stocks vs. Bonds”, where the Smart Money Indicator (SMI) is a complicated variable that exploits differences in futures and options positions in the S&P...
Do investors systematically and exploitably underreact to deviations in firm fundamentals from recent averages? In their January 2020 paper entitled “Anchoring on Past Fundamentals”, Doron Avramov, Guy Kaplanski and Avanidhar Subrahmanyam investigate how deviations of...
Has growth in futures-based exchange-traded funds (ETF) predictably affected pricing of underlying assets? In his November 2019 paper entitled “Passive Funds Actively Affect Prices: Evidence from the Largest ETF Markets”, Karamfil Todorov investigates impacts of...
Below is a weekly summary of our research findings for 2/10/20 through 2/14/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are robo-analysts, who apply technology to mass-produce recommendations with limited human intervention, better stock pickers than traditional human analysts? In their January 2020 preliminary (and incomplete) paper entitled “Man Versus Machine: A Comparison of Robo-Analyst...