Investing Research Articles

The body of U.S. stock market research offers hundreds of factors (the factor zoo) to explain and predict return differences across stocks. Is there a reduced set of factors that most accurately and consistently captures...

Does implied stock market volatility (IV) predict stock market returns? In their March 2018 paper entitled “Implied Volatility Measures As Indicators of Future Market Returns”, Roberto Bandelli and Wenye Wang analyze the relationship between S&P 500 Index IV...

Does rigorous re-examination of time series (intrinsic or absolute) asset return momentum confirm its statistical and economic significance? In their April 2018 paper entitled “Time-Series Momentum: Is it There?”, Dashan Huang, Jiangyuan Li, Liyao Wang and Guofu Zhou conduct...

Data snooping bias is pervasive in published research and quantitative investment strategies. Should investors resign themselves to the consequence that investment managers/funds offer products picked mostly on past luck? In his May 2018 presentation package entitled...

Should investors consider adding crypto-assets to portfolios of traditional assets? In their April 2018 paper entitled “Cryptocurrencies as an Asset Class?”, Sinan Krueckeberg and Peter Scholz investigate whether cryptocurrencies (crypto-assets) qualify as a distinct asset class, attractively diversifying...

What is the interplay among investable proxies for the U.S. dollar, gold and crude oil? Do changes in the value of the dollar lead those in hard assets? To investigate, we relate the return series...

Is there a tractable way of estimating the level of data snooping bias in investment strategy studies and thereby correcting for it? In their April 2018 paper entitled “Detection of False Investment Strategies Using Unsupervised...

Do exchange-traded funds (ETF) exhibit unique calendar-based anomalies? In their April 2018 paper entitled “Evidence of Idiosyncratic Seasonality in ETFs Performance”, flagged by a subscriber, Carlos Francisco Alves and Duarte André de Castro Reis investigate calendar-based...

Is there a way to predict the value of a crypto-asset like Bitcoin? In their March 2018 paper entitled “An Equilibrium Valuation of Bitcoin and Decentralized Network Assets”, Emiliano Pagnotta and Andrea Buraschi model the value of Bitcoin...

Is use of a sampling interval much shorter than input variable measurement interval a useful statistical practice in financial markets research? In the April 2018 update of their paper entitled “Long Horizon Predictability: A Cautionary...

How do housing, equities and government bonds/bills perform worldwide over the long run? In their February 2018 paper entitled “The Rate of Return on Everything, 1870-2015”, Òscar Jordà, Katharina Knoll, Dmitry Kuvshinov, Moritz Schularick and Alan Taylor address the following...

A reader asked: “The American Association of Individual Investors (AAII) has a lot of strategies they have been paper-trading over many years at Stock Screens. It seems like every strategy builds upon a well-known investing...

Are technical rules applied to pairs trading attractive after correcting for data snooping bias? In their March 2018 paper entitled “Pairs Trading, Technical Analysis and Data Snooping: Mean Reversion vs Momentum”, Ioannis Psaradellis, Jason Laws, Athanasios Pantelous and Georgios...

Do informed (noise) traders drive short-term stock return momentum (reversal)? In their April 2018 paper entitled “Short-term Momentum”, Mamdouh Medhat and Maik Schmeling investigate interaction of short-term momentum/reversal and recent share turnover for U.S. and international stocks....

Are there exploitable lead-lag relationships between bonds and stocks, perhaps because bond investors are generally better informed than stock investors or because there is some predictable stocks-bonds rebalancing cycle? To investigate, we examine lead-lag relationships...

What is the body of academic research on crypto-assets? In their March 2018 paper entitled “Cryptocurrencies as a Financial Asset: A Systematic Analysis”, Shaen Corbet, Brian Lucey, Andrew Urquhart and Larisa Yarovaya review available research on...

How do the corporate experts most responsible for assessing the cost of equity currently feel about future U.S stock market returns? In their March 2018 paper entitled “The Equity Risk Premium in 2018”, John Graham...

What is the best way to put strategic edges and tactical views into investment portfolios? In their March 2018 paper entitled “Model Portfolios”, Debarshi Basu, Michael Gates, Vishal Karir and Andrew Ang describe and illustrate a three-step optimized asset allocation...

Does investing “leader” overconfidence (self-attribution bias) transfer bad trading practices to other non-professional investors who participate in a social trading platform? In their March 2018 paper entitled “Self-Attribution Bias and Overconfidence Among Nonprofessional Traders”, Daniel Czaja and Florian...

Is there an easy way for investors to capture jointly the most reliable stock return factor premiums? In their March 2018 paper entitled “The Conservative Formula: Quantitative Investing Made Easy”, Pim van Vliet and David Blitz propose a...

Are published stock return anomalies exploitable worldwide? In their January 2018 paper entitled “Does it Pay to Follow Anomalies Research? International Evidence”, Ondrej Tobek and Martin Hronec investigate out-of-sample and post-publication performances of 153 cross-sectional stock return anomalies...

Are bond market investors generally shrewder than their stock market counterparts, such that bond yield tops (bottoms) anticipate stock market bottoms (tops)? To investigate, we employ both a monthly lead-lag analysis and a comparison of...

Does Bitcoin have a bright future, or is it only a transitional proof of concept? In their March 2018 paper entitled “Bitcoin: A Revolution?”, Guillaume Haeringer and Hanna Halaburda review incentive mechanisms that make Bitcoin work and...

Can sacrificing little goals satisfy bigger ones? In the March 2018 draft of their paper entitled “Pulling the Goalie: Hockey and Investment Implications”, Clifford Asness and Aaron Brown ponder when a losing hockey coach should pull the...

Does adding international equity exposure and an escape to “cash” enhance performance of a relative momentum strategy that switches between stock and U.S. Treasury bond exchange-traded funds (ETF)? In his February 2018 paper entitled “Simple...