How can investors estimate the value of musical assets as an alternative investment? In their January 2025 paper entitled “Pricing Music Royalty Assets”, Luis Villalobos, Yuao Peng, Ananya Mohapatra, Caroline He, Tiffany Filawo, Sasha Stoikov...
Can fund managers, and thereby individual investors, reliably exploit academic research on equity factors? In his January 2025 paper entitled “Do Factor Strategies Beat the Market?”, Edward McQuarrie reviews differences between the results of academic...
Recent research in accounting and finance finds that large language models (LLM) beat humans on a variety of related tasks, but the black box nature of LLMs obscures why. Is LLM outperformance real? In his...
Do annual stock picks from the Meta AI large language model beat the market? To investigate, we ask Meta AI to pick the top 10 stocks for each of 2020-2024 based on information available only...
Below is a weekly summary of our research findings for 1/27/25 through 1/31/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do annual stock picks from the ChatGPT large language model beat the market? To investigate, we ask ChatGPT to pick the top 10 stocks for each of 2020-2024 based on information available only before each...
How can researchers ensure that large language models (LLM), when tasked with time series forecasting, do not inject look-ahead bias and thereby inflate measured predictive power? In his brief November 2024 paper entitled “Look-Ahead Bias...
A reader asked: “I am wondering how come you have not rated Motley Fool guys. Any insight?” To augment the test of Motley Fool public stock picks in “‘Buy These Stocks for 2019’ Forward Test”,...
Below is a weekly summary of our research findings for 1/21/25 through 1/24/25. 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 a test of Ray Dalio‘s All Weather (AW) portfolio with different rebalancing frequencies, allocated to exchange-traded funds (ETF) as asset class proxies as follows: 30% – Vanguard Total Stock Market (VTI) 40%...
Generative large language models (LLM), such as ChatGPT, are best known for conversational summation of complex information. Their use in financial forecasting focuses on discrete news sentiment signals of positive (1), neutral (0) or negative...
Below is a weekly summary of our research findings for 1/13/25 through 1/17/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can a generative artificial intelligence (AI) model, such as ChatGPT 4o, materially aid investors in understanding the implications of earnings conference call transcripts? In their December 2024 paper entitled “AI, Investment Decisions, and Inequality”, Alex...
Which price-to-earnings ratio is best for screening stocks? In the November 2024 first version of his paper entitled “Forward Price-Earnings Ratio”, Luca Conrads compares the practical abilities of seven price-to-earnings ratios to predict S&P 500...
Below is a weekly summary of our research findings for 1/6/25 through 1/10/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Data snooping bias entails the capture of noise in a dataset that is lucky with respect to a research goal, such as high Sharpe ratio for an investment/trading strategy. Snooping may involve discovery via multiple...
Can large language models (LLMs) create financial research? In their December 2024 paper entitled “AI-Powered (Finance) Scholarship”, Robert Novy-Marx and Mihail Velikov describe a process for automatically generating academic finance papers using LLMs and demonstrates...
Are there “trigger” words in risk sections of annual U.S. firm 10-K reports that materially influence buying and selling of associated stocks? In his December 2024 paper entitled “Risky Words and Returns”, Sina Seyfi tests...
Should investors expect end-of-day rebounds in intraday loser stocks? In their November 2024 paper entitled “End-of-Day Reversal”, Amar Soebhag, Guido Baltussen and Zhi Da investigate intraday return reversal among individual stocks during the last 30...
Below is a weekly summary of our research findings for 12/30/24 through 1/3/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Experimental (researcher-imagined) asset markets provide a controlled environment for testing hypotheses about investor behaviors. Do limits on abilities of researchers to model markets realistically, and researcher incentives/motivations, jeopardize the credibility of associated studies? In their...
How can investors best apply the available array of Large Language Models (LLM) in quantitative strategy development? In his December 2024 paper entitled “The LLM Quant Revolution: From ChatGPT to Wall Street”, William Mann summarizes...
How well have popular stock screens worked over the long term and since 2000? In their December 2024 paper entitled “Formula Investing”, Marcel Schwartz and Matthias Hanauer test four popular stock screening formulas with a...
How can cross-currency equity investors best approach hedging the associated currency exchange risk? In their December 2024 paper entitled “The Best Strategies for FX Hedging”, Pedro Castro, Carl Hamill, John Harber, Campbell Harvey and Otto...
Below is a weekly summary of our research findings for 12/23/24 through 12/27/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...