Is the stock market overnight move effect exploitable? To investigate, we look at performances of two exchange-traded funds (ETF) designed to exploit the effect: NightShares 500 ETF (NSPY), which “seeks to return the night performance...
How much do investors gain or sacrifice by focusing their portfolios on “sustainable” (green) stocks? In their March 2024 paper entitled “In Search of the True Greenium”, Marc Eskildsen, Markus Ibert, Theis Jensen and Lasse...
Below is a weekly summary of our research findings for 4/15/24 through 4/19/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are sentiments conveyed in Seeking Alpha articles useful for stock picking? In their January 2023 paper entitled “Seeking Alpha: More Sophisticated Than Meets the Eye”, Duo Selina Pei, Abhinav Anand and Xing Huan apply two-pass...
What are the implications of mainstream economics for bitcoin? In his March 2024 paper entitled “Bitcoin: What Does Mainstream Economics Have to Say?”, Joshua Hendrickson tackles the following questions: Why does money exist and what...
How has the simple Sell in May strategy worked in the modern U.S. equity market, defined as the time since introduction of SPDR S&P 500 ETF Trust (SPY)? To investigate, we: Calculate 6-month SPY returns...
Below is a weekly summary of our research findings for 4/8/24 through 4/12/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does pricing of options on leveraged exchange-traded funds (ETF) predict future returns of the underlying 1X ETFs? In the March 2024 version of their paper entitled “Lever Up! An Analysis of Options Trading in Leveraged...
Is momentum better measured by a granular fitted line or beginning-to-end return? In their March 2024 paper entitled “Trended Momentum”, Charlie Cai, Peng Li and Kevin Keasey investigate use of an analytically/visually clear linear stock...
Can investors beat a traditional 60%-40% stocks-bonds portfolio by adjusting allocations based on the earnings yield of stocks and the current yield of government bonds? In his March 2024 paper entitled “A Yield-based Asset Ratio...
Can artificial intelligence platforms such as ChatGPT be good stock day traders? In his March 2024 paper entitled “Can ChatGPT Generate Stock Tickers to Buy and Sell for Day Trading?”, Sangheum Cho tests whether ChatGPT...
Below is a weekly summary of our research findings for 4/1/24 through 4/5/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can investors reliably capture illiquidity-driven stock price noise, short-term deviations in price from some measurable fair value? In their February 2024 paper entitled “Intraday Residual Reversal in the U.S. Stock Market”, Jonathan Brogaard, Jaehee Han...
Can holders of popular large-capitalization stocks improve portfolio performance by systematically buying or selling options on these stocks? In their February 2024 paper entitled “The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks from...
Can day traders get rich with an Opening Range Breakout (ORB) strategy that buys (sells) unusually active stocks with positive (negative) opens that break out to new highs (lows) during the first five minutes of...
Do economic data releases trigger predictably large returns in short-term equity index options? In their February 2024 paper entitled “Expected 1DTE Option Returns”, Michael Johannes, Andreas Kaeck, Norman Seeger and Neel Shah analyze returns to...
Technological disruption (as experienced with widespread electrification and the rise of the world-wide web, and imagined for artificial intelligence) is a recurring feature of human history. Such disruptions presents risks and opportunities for investors. How...
Below is a weekly summary of our research findings for 3/25/24 through 3/28/24. 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 asked for assessment of a strategy that holds 70% SPDR S&P 500 ETF Trust (SPY) and 30% SPDR Bloomberg 1-3 Month T-Bill ETF (BIL) (SPY-BIL 70-30), rebalanced every eight weeks, with explicit comparison...
Is the behavior of the U.S. stock market around exchange holidays consistent enough to generate an aggregate pattern? To investigate, we look at daily S&P 500 Index returns from three trading days before a holiday...
Below is a weekly summary of our research findings for 3/18/24 through 3/22/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Using the Money Anxiety Index for ETF Selection” examines whether the proprietary Money Anxiety Index (MAI) can select long and short portfolios of ETFs that beat the S&P 500 Index (ignoring dividends). Test outputs are...
Does anxiety about having enough money play an important role in asset selection decisions, and thereby asset returns? In his March 2024 paper entitled “Money Anxiety Theory – a Predictor of Equity’s Performance”, Dan Geller...
How different are stock market performance metrics for: Capital gains only, capital gains plus dividends accrued as cash (spent or saved), and capital gains plus dividends reinvested in the stock market? Nominal versus real returns?...
What happens to mispriced stocks when associated firms issue positive or negative news? In their February 2024 paper entitled “Beauty Contests and Higher Order Beliefs: Evidence from News Releases”, Tarun Chordia, Bin Miao and Joonki...