“Predicting Stock Market Return with Stocks-TIPS Yield Delta” summarizes results of a study finding that deviations of the S&P 500 earnings yield from the real government bond yield, as measured by the 10-year Treasury Inflation-Protected...
Do deviations of the aggregate stock market earnings yield from the real government bond yield, as measured by the 10-year Treasury Inflation-Protected Securities (TIPS) coupon yield, predict future stock market returns? In the December 2024...
“Distance Between Fast and Slow Price SMAs and Stock Returns” finds that extreme distance between a 21-trading day simple moving average (SMA21) and 200-trading day simple moving average (SMA200), as applied to individual U.S. stock...
Below is a weekly summary of our research findings for 12/16/24 through 12/20/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do investors swing toward optimism around U.S. presidential inauguration days, focusing on future opportunities? Or, does the day remind investors of political uncertainty and conflict? To investigate, we analyze daily returns of the S&P 500...
How should investors think about research using long-run financial data? In their October 2024 paper entitled “Long-Run Asset Returns”, David Chambers, Elroy Dimson, Antti Ilmanen and Paul Rintamäki survey the body of evidence on historical...
Below is a weekly summary of our research findings for 12/9/24 through 12/13/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can expected trading frictions, as derived from trading volume forecasts, materially improve active stock portfolio net performance? In the May 2024 version of their paper entitled “Trading Volume Alpha”, flagged by a subscriber, Ruslan Goyenko,...
Are the human choices in studies that apply machine learning models to forecast stock returns critical to findings? In other words, is there a confounding machine learning design choices zoo? In their November 2024 paper...
A subscriber wondered whether choosing the fourth place asset class exchange-traded fund (ETF) rather than the third place class ETF for monthly reformation of the Simple Asset Class ETF Momentum Strategy (SACEMS) would matter if...
Do some stocks entail emotional relationships that alter investor perceptions of risk and return? Is the effect exploitable? In their November 2024 paper entitled “Investor Emotions and Asset Prices”, Shehub Bin Hasan, Alok Kumar and...
Below is a weekly summary of our research findings for 12/2/24 through 12/6/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are broad measures of public sociopolitical sentiment relevant to investors? Do they predict stock returns as indicators of exuberance and fear? To investigate, we relate S&P 500 Index return and 12-month trailing S&P 500 price-operating...
How should investors think about potential shocks to firm valuations and financial markets research from generative artificial intelligence (GenAI)? In their October 2024 paper entitled “AI and Finance”, Andrea Eisfeldt and Gregor Schubert review the literature...
Despite access to elaborate trading platforms and real-time data, the large majority of speculative traders incur substantial losses (see, for example the chart below). In his August 2024 paper entitled “The Myth of Profitable Day...
Is detailed decision-making prowess a better metric than past performance for comparing portfolio managers? In their October 2024 paper entitled “Actions Speak Louder Than (Past) Performance: The Relationship Between Professional Investors’ Decision-Making Skill and Portfolio...
Given anxiety among investors about the rapid rise of U.S. public debt, are U.S. Treasuries fairly valued? In his July 2024 paper entitled “A Historical Perspective on US Treasuries Risk Premia”, Olivier Davanne describes factors...
Below is a weekly summary of our research findings for 11/25/24 through 11/29/24. 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 review of “Accelerating Dual Momentum [ADM] Investing”, which allocates all funds to U.S. stocks, international (ex-U.S.) small-capitalization stocks or long-term U.S. Treasury bonds, as follows: Each month, calculate for each of the...
Success of dynamic asset class allocations assumes that expected asset class returns, return riskiness and investor risk aversion change at least somewhat predictably over time. Are individual investors truly better off with dynamic (rather than...
Below is a weekly summary of our research findings for 11/18/24 through 11/22/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Since 1990, the Federal Reserve Bank of Philadelphia has conducted a quarterly Survey of Professional Forecasters. The American Statistical Association and the National Bureau of Economic Research conducted the survey from 1968-1989. Among other things,...
Can investors safely use leverage to squeeze incremental return from low-volatility/factor-tilted stocks, thereby avoiding underperformance of these stocks during bull markets? In their October 2024 paper entitled “Low-Risk Alpha Without Low Beta”, David Blitz, Clint...
What topics are hot and cold in finance research? In their October 2024 paper entitled “Tracing the Evolution of Finance Research: A Topic Modeling Analysis of AJG-Ranked Journals”, Yang Su, Brian Lucey and Ashish Jha...
Below is a weekly summary of our research findings for 11/11/24 through 11/15/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...