The body of research indicates that low-volatility/low-beta stock investing suppresses exposure to overall equity market risk. Does it work equally well for different sources of such risk? In his September 2022 paper entitled “Macro Risk...
Do environmental, social, and corporate governance (ESG) ratings aggregated across individual firms predict overall stock market returns? In the July 2022 version of their paper entitled “ESG and the Market Return”, Ran Chang, Liya Chu,...
Below is a weekly summary of our research findings for 9/12/22 through 9/16/22. 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 a tactic that requires a subsequent confirming signal before triggering a strategy action. To investigate we use the 10-month simple moving average (SMA10) as applied to the S&P 500 Index and...
A subscriber asked about a tactic employed in some strategies wherein a new X-day high (breakout) triggers a buy and a new Y-day low (breakdown) triggers a sell. Specific X:Y values requested are 55:20, 100:20,...
Below is a weekly summary of our research findings for 9/6/22 through 9/9/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Should investors believe that long-term asset class return forecasts are useful? In his brief August 2022 paper entitled “How Accurate are Capital Market Assumptions, and How Should We Use Them?”, Mike Sebastian employs 10 years...
Do morning and afternoon stock returns convey different meanings due to gradual dissipation of information asymmetry among traders during the trading day (as the market digests overnight news)? In their August 2022 paper entitled “A...
A subscriber, referring to a March 2016 commentary stating that “microcap stocks offer investors one of the best opportunities for consistent, long-term excess returns,” inquired about the performance of quality-value-momentum microcap strategy described therein. To...
Below is a weekly summary of our research findings for 8/29/22 through 9/2/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do brokers who accept payments for order flow (PFOF) pass this income through to customers in the form of cheaper trade execution? In his June 2022 paper entitled “Price Improvement and Payment for Order Flow:...
Does the U.S. stock market respond predictably to Federal Open Market Committee (FOMC) announcements, typically released between 14:00 and 14:20 EST? In the August 2022 version of their paper entitled “The FOMC Announcement Reversal”, Tommaso...
Do brokers do better for clients than the bid (ask) when executing market sell (buy) orders? Which ones do best? In their August 2022 paper entitled “The ‘Actual Retail Price’ of Equity Trades”, Christopher Schwarz,...
Below is a weekly summary of our research findings for 8/22/22 through 8/26/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What kind of firm growth should long-term investors value most? In his August 2022 paper entitled “The Role of Net Income Growth in Explaining Long-Horizon Stock Returns”, Hendrik Bessembinder relates decade compound stock returns to...
A subscriber asked about frequency, magnitude and duration of bear market rallies. To investigate, we employ the S&P 500 Index and consider three ways to define a bear market: From the day the index is...
Is the gap between the yield on the 10-year constant maturity U.S. Treasury note (T-note) and the 10-Year breakeven inflation rate (a measure of expected inflation over the next 10 years derived from T-note yield...
Does the sentiment expressed by major newspapers about the economy usefully predict stock market returns? To investigate, we employ the Daily News Sentiment Index, constructed from “economics-related news articles from 24 major U.S. newspapers [across]...
Below is a weekly summary of our research findings for 8/15/22 through 8/19/22. 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 suggested testing SentimenTrader’s Dumb Money Confidence model “that incorporates more than a dozen indicators that have a track record of cycling to extremes, and equating with ebbs and flows in sentiment among broad...
Which variables deserve greatest focus when predicting stock market returns? In their July 2022 paper entitled “Searching for the Best Conditional Equity Premium Model”, Hui Guo, Saidat Sanni and Yan Yu exhaustively explore combinations of...
Below is a weekly summary of our research findings for 8/8/22 through 8/12/22. 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 whether a rapid, large (20% or more) individual country currency devaluation versus the U.S. dollar indicates that the country’s stock market will rise the next quarter (with country exports presumably more competitive...
How sensitive are findings about the magnitude and reliability of equity factor premiums to differences in the rules researchers use in sorting stocks to calculate them? In their July 2022 paper entitled “Non-Standard Errors in...
Can investors achieve attractive asset class momentum strategy performance by applying slow relative momentum to different risk-on (offensive) and risk-off (defensive) sets of exchange-traded funds (ETF), and fast absolute momentum to a separate risk mode...