Below is a weekly summary of our research findings for 7/24/23 through 7/28/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Which previously researched variables or combinations of such variables best predict long-term U.S. stock market returns? In their June 2023 paper entitled “Estimating Long-Term Expected Returns”, Rui Ma, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti...
With monthly market state specified as positive (negative) when prior-month market excess return relative to U.S. Treasury bill (T-bill) yield is positive (negative), “Equity Factor Performance Following Positive and Negative Market Returns” reports that average...
Do stock return anomalies perform differently after positive and negative monthly market returns? In their July 2023 paper entitled “The Market State, Mispricing and Asset Pricing Anomalies”, Michael Di Carlo and Ilias Tsiakas examine the...
Are intraday stock market exchange-traded funds (ETF), stock sector ETFs and individual stock returns exploitably predictable at short horizons? In their June 2023 paper entitled “Intraday Stock Predictability Everywhere”, Fred Liu and Lars Stentoft study...
Below is a weekly summary of our research findings for 7/17/23 through 7/21/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What modeling techniques help avoid biases/overfitting in use of machine learning to predict stock returns? In his July 2023 paper entitled “Less is More? Reducing Biases and Overfitting in Machine Learning Return Predictions”, Clint Howard...
Does an expectation of an unusually large number of firm defaults in the coming year usefully predict stock and bond market returns? In their May 2023 paper entitled “Systematic Default and Return Predictability in the...
Below is a weekly summary of our research findings for 7/10/23 through 7/14/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can state-of-the-art artificial intelligence (AI) applications such as GPT-4, trained on the text of billions of web documents, provide sound financial advice? In their June 2023 paper entitled “Using GPT-4 for Financial Advice”, Christian Fieberg,...
Do companies that make the strongest commitments to diversity, equity and inclusion (DEI) generate attractive stock returns? In their April 2023 paper entitled “Diversity, Equity, and Inclusion”, Alex Edmans, Caroline Flammer and Simon Glossner relate...
Is the ability of the VIX percentile threshold rule described in “Using VIX and Investor Sentiment to Explain Stock Market Returns” to explain future stock market excess return in-sample readily exploitable out-of-sample? To investigate, we...
Do stock market return volatility (as a measure of risk) and aggregate investor sentiment (as a measure of risk tolerance) work well jointly to explain stock market returns? In their June 2023 paper entitled “Time-varying...
Below is a weekly summary of our research findings for 7/3/23 through 7/7/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How do recent advances in Generative Artificial Intelligence (AI), as epitomized by ChatGPT, impact firm valuations? In their May 2023 paper entitled “Generative AI and Firm Values”, Andrea Eisfeldt, Gregor Schubert and Miao Ben Zhang...
Researchers applying machine learning to predict stock returns typically train their models on next-month returns, implicitly generating high turnover that negates gross outperformance. Does training such models on longer-term returns (with lower implicit turnovers) work...
Subscribers asked why the Simple Asset Class ETF Value Strategy (SACEVS) signaled an apparently dramatic change in allocations at the end of June. SACEVS seeks a monthly tactical edge from timing three risk premiums associated...
Below is a weekly summary of our research findings for 6/26/23 through 6/30/23. 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 about the performance of a strategy that each month rebalances to 60% international equities and 40% international corporate bonds (both non-U.S.), and how this performance compares to that of a portfolio that...
Instead of searching among hundreds of firm/stock characteristics to identify those that best predict stock returns, what about first finding the stocks with the highest and lowest past returns and then examining the characteristics of...
What happens as more and more web-scraped training data for Large Language Models (LLM), such as ChatGPT, derives from outputs of predecessor LLMs? In their May 2023 paper entitled “The Curse of Recursion: Training on...
Below is a weekly summary of our research findings for 6/19/23 through 6/23/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In response to “Tech Premium Boost for Simplest Asset Class Momentum Strategy?”, a subscriber asked about testing the combination of Vanguard Growth Index Fund (VUG) and Vanguard Total Bond Market Index Fund (BND) in the...
Below is a weekly summary of our research findings for 6/12/23 through 6/16/23. 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 evaluation of a streamlined version of the Simple Asset Class ETF Momentum Strategy (SACEMS) that considers only three exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares Barclays 20+ Year Treasury Bond (TLT)...