Investing Research Articles

Is there a reliable way to forecast spikes in U.S. stock market expected volatility, as measured by the CBOE Volatility Index (VIX), and thereby avoid or exploit associated market declines? In his April 2017 paper...

Are anomaly premiums (expected winners minus losers among assets within a class, based on some asset characteristic) more or less predictable than broad market returns? In their April 2017 paper entitled “Predicting Relative Returns”, Valentin Haddad, Serhiy...

Does stock momentum purified of market, size and book-to-market factor risks (idiosyncratic or residual or pure momentum) distinctly outperform conventional momentum? In their April 2017 paper entitled “The Idiosyncratic Momentum Anomaly”, David Blitz, Matthias Hanauer and Milan Vidojevic...

Are financial markets best viewed as massively multiplayer gambling? In his March 2017 paper entitled “Why Markets Are Inefficient: A Gambling ‘Theory’ of Financial Markets for Practitioners and Theorists”, Steven Moffitt presents a model of...

We developed the Simple Asset Class ETF Momentum Strategy (SACEMS) about six years ago and the Simple Asset Class ETF Value Strategy (SACEVS) about two years ago independently, focusing on the separate logic of asset...

Is there an easy way to turn conventional stock momentum crashes into gains? In the March 2017 version of her paper entitled “Dynamic Momentum and Contrarian Trading”, Victoria Dobrynskaya examines the timing of momentum crashes and...

What are the most common strategies for trading commodity futures? In their brief January 2017 article entitled “Commodity Futures Trading Strategies: Trend-Following and Calendar Spreads”, Hilary Till and Joseph Eagleeye describe the two most common strategies...

Do certain types of news about specific stocks reliably predict risk-adjusted returns of those stocks? In their March 2017 paper entitled “Using Natural Language Processing Techniques for Stock Return Predictions”, Ming Li Chew, Sahil Puri, Arsh Sood and...

What are the ins and outs of crash risk measurement via Value at Risk (VaR)? In their March 2017 paper entitled “A Gentle Introduction to Value at Risk”, Laura Ballotta and Gianluca Fusai provide an introduction to...

Is there a straightforward way to interpret the state of the yield curve as a manifestation of how efficiently the economy is processing information? In his March 2017 paper entitled “Simple New Method to Predict...

Is option-implied volatility a useful predictor of returns for commodity futures? In her March 2017 paper entitled “Commodity Option Implied Volatilities and the Expected Futures Returns”, Lin Gao tests the power of option-implied volatilities (with 12-month detrending) for...

Is the conventional wisdom that equity index put options are effective tail risk hedges for a stock portfolio correct? In his March 2017 paper entitled “Pathetic Protection: The Elusive Benefits of Protective Puts”, Roni Israelov compares...

How are the asset allocations of the largest university endowments, conventionally accepted as among the best investors, evolving? In their December 2016 paper entitled “The Evolution of Asset Classes: Lessons from University Endowments”, John Mulvey...

Should investors shun mutual funds with high fees? In their February 2017 paper entitled “Cheaper is Not Better: On the Superior Performance of High-Fee Mutual Funds”, Jinfei Sheng, Mikhail Simutin and Terry Zhang re-examine the conventionally accepted negative relationship...

Does disentangling measures of stock illiquidity and market capitalization (size) support belief in an illiquidity premium (a reward for holding illiquid assets)? In the December 2016 version of their paper entitled “The Value of True...

Do momentum and reversal stock anomalies stripped of market, size and book-to-market risks (residual anomalies) outperform their conventional forms? In their March 2017 paper entitled “Residual Momentum and Reversal Strategies Revisited”, Joop Huij and Simon Lansdorp compare...

Should market timers use moving averages of different lengths for trading uptrends and downtrends? In his January 2017 paper entitled “Asymmetry between Uptrend and Downtrend Identification: A Tale of Moving Average Trading Strategy”, flagged by...

How do widely studied anomalies relate to representative stocks-bonds portfolio returns (rather than the risk-free rate)? In his March 2017 paper entitled “Understanding Anomalies”, Filip Bekjarovski proposes an approach to asset pricing wherein a representative portfolio...

Do attention-driven retail stock investors bid prices of the biggest daily movers to overvaluation? In their March 2017 paper entitled “Daily Winners and Losers”, Alok Kumar, Stefan Ruenzi and Michael Ungeheuer examine the subsequent return behaviors of the...

What is “under the hood” at quantitative investment firms? In their December 2016 book-length paper entitled “Factor Investing and Asset Allocation: A Business Cycle Perspective”, Vasant Naik, Mukundan Devarajan, Andrew Nowobilski, Sebastien Page and Niels Pedersen examine the process of translating macroeconomic...

What is a safe portfolio withdrawal rate for early retirees who expect more than 30 years of retirement? In their February 2017 paper entitled “Safe Withdrawal Rates: A Guide for Early Retirees”, ERN tests effects of several...

Are widely used stock factor premiums amenable to timing based on the ratio of aggregate valuation of stocks in the long side to aggregate valuation of stocks in the short side of the factor portfolio...

Are the profitability (Robust Minus Weak, RMW) and investment (Conservative Minus Aggressive, CMA) stock factor premiums observed post-1963 robust in earlier data? In the February 2017 version of his paper entitled “The Profitability and Investment Premium: Pre-1963...

How diversifying are different equity factors within and across country stock markets? In his January 2016 paper entitled “The Power of Equity Factor Diversification”, Ulrich Carl analyzes diversification properties of six equity factors (market excess return, size, value,...

Are strategies that exploit return autocorrelation good places to look for complementary (diversifying) return streams? In the March 2017 version of their paper entitled “Momentum and Covered Calls almost Everywhere”, Stephen Choi, Gil-Lyeol Jeong and Hogun Park examine...