A subscriber requested an assessment of U.S. federal capital gains tax impacts on the Simple Asset Class ETF Value Strategy (SACEVS), the Simple Asset Class ETF Momentum Strategy (SACEMS) and combinations of the two for investors...
Are stock due diligence reports posted on Reddit’s Wallstreetbets (WSB) informative? If so, do users exploit them skillfully? In their March 2021 paper entitled “Place Your Bets? The Market Consequences of Investment Advice on Reddit’s Wallstreetbets”,...
What is the total return to U.S. single family (house) rentals? In their February 2021 paper entitled “Total Returns to Single Family Rentals”, Andrew Demers and Andrea Eisfeldt analyze total returns to U.S. single family...
How has systematic investment, with trades generated by rules or algorithms, evolved? What are its strengths and weaknesses? In his February 2021 paper entitled “Why Is Systematic Investing Important?”, Campbell Harvey summarizes the history, advantages...
Below is a weekly summary of our research findings for 3/29/21 through 4/1/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How uncertain are investors about cryptocurrencies, and what drives their collective uncertainty? In their March 2021 paper entitled “The Cryptocurrency Uncertainty Index”, Brian Lucey, Samuel Vigne, Larisa Yarovaya and Yizhi Wang present a Cryptocurrency Uncertainty...
How much does accounting for equity factor portfolio maintenance frictions affect usefulness of factor models of stock returns. In their March 2021 paper entitled “Model Selection with Transaction Costs”, Andrew Detzel, Robert Novy-Marx and Mihail...
Below is a weekly summary of our research findings for 3/22/21 through 3/26/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What returns and risk should investors expect from private property (real estate, privately owned infrastructure, collectibles and non-corporate business equity), characterized by infrequent trading, inexact market values and noisy returns? In their March 2021 paper...
A subscriber asked for an extended test of a very simple momentum strategy that each month holds Vanguard 500 Index Fund Investor Shares (VFINX) or Vanguard Long-Term Treasury Fund Investor Shares VUSTX according to which...
Is buying assets during banking crises, when assets appear to be at deep discounts, an attractive long-run strategy? In their January 2021 paper entitled “Investing in Crises”, Matthew Baron, Luc Laeven, Julien Penasse and Yevhenii...
Below is a weekly summary of our research findings for 3/15/21 through 3/19/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Several recent papers find that most studies identifying factors that predict stock returns are not replicable or derive from snooping of many factors. Is there a good counter-argument? In their January 2021 paper entitled “Is...
A subscriber asked (years ago): “Everyone says I should not invest in bonds today because the interest rate is so low (and inflation is daunting). But real bond returns over the last 30 years are...
Is following the lead of certain types of equity investors as effective as using widely accepted factor models of stock returns? In their March 2021 paper entitled “What Do the Portfolios of Individual Investors Reveal...
Below is a weekly summary of our research findings for 3/8/21 through 3/12/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How has the market environment changed with the introduction of zero-commission trading and associated interest in trading among many inexperienced users? In their January 2021 paper entitled “Zero-Commission Individual Investors, High Frequency Traders, and Stock...
How can the retail trader tail wag the market dog? In their February 2021 paper entitled “The Equity Market Implications of the Retail Investment Boom”, Philippe van der Beck and Coralie Jaunin quantify impacts of...
Under current U.S. accounting rules, many investments in innovation, human resources and brand that are crucial to long-term competitiveness immediately reduce operating profits and earnings (are expensed rather than capitalized). Does failure to incorporate such...
Below is a weekly summary of our research findings for 3/1/21 through 3/5/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do negative environmental, social and governance (ESG) incidents (environmental pollution, poor employment conditions or anti-competitive practices) indicate poor firm management and therefore underperforming stocks? In his February 2021 paper entitled “ESG Incidents and Shareholder Value”,...
Are gold and bitcoin similar assets? In his December 2020 paper entitled “Bitcoin is Exactly Like Gold Except When it Isn’t”, Claude Erb compares and contrasts the following aspects of gold and bitcoin: Inflation hedge...
Value investing performance over the past two decades is poor. Is this underperformance a temporary consequence of an unusual macro environment, or a reflection of permanent economic/equity market changes. In their February 2021 paper entitled...
Below is a weekly summary of our research findings for 2/22/21 through 2/26/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Investors seeking low-cost, automated, tax-efficient and potentially alpha-generating solutions increasingly follow model portfolios of exchange-traded funds (ETF). Is there a top-down way to characterize those models? In their November 2020 paper entitled “Using Data Science...