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Investing Research Articles

2921 Research Articles

Combining Economic Policy Uncertainty and Stock Market Trend

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 the Stock Market”; and, (2) U.S. stock market trend. We consider two such combinations. The first combines: 10-month simple moving… Keep Reading

Economic Policy Uncertainty and the Stock Market

Does quantified uncertainty in government economic policy reliably predict stock market returns? To investigate, we consider the U.S. Economic Policy Uncertainty (EPU) Index, created by Scott Baker, Nicholas Bloom and Steven Davis and constructed from three components: Coverage of policy-related economic uncertainty by prominent newspapers. Number of temporary federal tax code provisions set to expire in… Keep Reading

Weekly Summary of Research Findings: 11/2/20 – 11/6/20

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 your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Skillful Advice from Seeking Alpha?

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 analysts as the hypothetical abnormal return an investor would earn by following reports/recommendations that focus on one common stock over… Keep Reading

More International Equity Market Granularity for SACEMS?

A subscriber asked whether more granularity in international equity choices for the “Simple Asset Class ETF Momentum Strategy” (SACEMS), such as considered by Decision Moose, would improve performance. To investigate, we augment/replace international developed and emerging equity market exchange-traded funds (ETF) such that the universe of assets becomes: SPDR S&P 500 (SPY) iShares Russell 2000 Index (IWM) iShares… Keep Reading

SPY 30-day/9-month SMA Crossover Test

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 otherwise holds cash with yield that of 3-month U.S. Treasury bills (T-bills). To investigate, we calculate SPY SMA30d and SMA9m… Keep Reading

Small Business Owner Sentiment and the U.S. Stock Market

Throughout each month, the National Federation of Independent Businesses surveys members on ten components of business conditions they anticipate six months hence. They issue findings on the second Tuesday of the following month in “Small Business Economic Trends”, including a Small Business Optimism Index (SBOI). Are the expectations of responding small business owners a “grass roots” predictor… Keep Reading

Bitcoin Price Repeatedly Manipulated?

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 as the leading digit about 30% (less than 5%) of the time. For asset prices, deviations from this law typically… Keep Reading

Weekly Summary of Research Findings: 10/26/20 – 10/30/20

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 your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Asset Class Momentum Faster During Bear Markets?

A subscriber asked whether the optimal momentum ranking (lookback) interval for the “Simple Asset Class ETF Momentum Strategy” (SACEMS) shrinks during bear markets for U.S. stocks. To investigate, we compare SACEMS monthly performance statistics when the S&P 500 Index at the previous monthly close is above (bull market) or below (bear market) its 10-month simple… Keep Reading