Investing Research Articles

Does the evolution of empirical asset pricing point inevitably to machine learning methods? In his February 2025 paper entitled “From Econometrics to Machine Learning: Transforming Empirical Asset Pricing”, Chuan Shi summarizes the transition from traditional methods to machine learning in empirical asset pricing. He traces the historical development of traditional asset pricing models and their… Keep Reading

“U.S. Stock Market Death Crosses and Golden Crosses” employs long samples to examine behaviors of the Dow Jones Industrial Average and the S&P 500 Index after death crosses and golden crosses, respectively the 50-day simple moving average crossing below and above the 200-day simple moving average. How do the more recent and easily tradable behaviors… Keep Reading

A subscriber suggested looking at the S&P 500 price-to-sales ratio (P/S) as an indicator for timing the U.S. stock market. To investigate, we relate P/S and change in P/S to S&P 500 Index (SP500) quarterly returns, as follows: Conduct lead-lag analyses for quarterly P/S versus quarterly SP500 returns, and for quarterly change in P/S versus… Keep Reading

Below is a weekly summary of our research findings for 4/28/25 through 5/2/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Can aggregate, distilled daily stock sentiment and attention, as extracted from financial social media, usefully predict U.S. stock market returns? In their March 2025 paper entitled “Market Signals from Social Media”, Anthony Cookson, Runjing Lu, William Mullins and Marina Niessner construct purified daily sentiment and attention indexes from millions of posts on StockTwits, Twitter and… Keep Reading

Is the ratio of implied volatility of implied volatility (CBOE VVIX Index), interpretable as a measure of changes in investor fear level, to the CBOE VIX Index itself a useful indicator of future stock market returns? To investigate, we relate monthly VVIX/VIX and monthly change in VVIX/VIX to monthly SPDR S&P 500 ETF Trust (SPY)… Keep Reading

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy. We have updated the Trading Calendar to incorporate data for April 2025.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for May 2025. SACEMS rankings probably will not change by the close. SACEVS allocations are unlikely to change by the close.

Is the implied volatility of implied volatility (CBOE VVIX Index), interpretable as a measure of changes in investor fear level, a useful indicator of future stock market returns? To investigate, we relate monthly VVIX and monthly change in VVIX to monthly SPDR S&P 500 ETF Trust (SPY) total returns. Using end-of-month levels of both VVIX… Keep Reading

Do alternative investments (real estate, venture capital, private equity, hedge funds, private credit, infrastructure and energy investments) offer attractive returns and diversification, buffering investors from the vagaries of the stock market? In his March 2025 paper entitled “The Demise of Alternative Investments”, Richard Ennis examines contributions of alternative investments (alts) to pension fund and endowment… Keep Reading