What Decentralized Finance (DeFi) issues may dampen associated interest in crypto-assets by undermining its promises of lower costs and risks compared to traditional, centralized financial intermediaries? In their June 2021 book chapter entitled “DeFi Protocol Risks:...
Below is a weekly summary of our research findings for 7/6/21 through 7/9/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is aggregate data snooping bias (p-hacking) in financial markets research a big issue or a minor concern? In their June 2021 paper entitled “Uncovering the Iceberg from Its Tip: A Model of Publication Bias and...
Can machine learning-generated stock market crash predictions be amenable to human interpretation? In their June 2021 paper entitled “Explainable AI (XAI) Models Applied to Planning in Financial Markets”, Eric Benhamou, Jean-Jacques Ohana, David Saltiel and...
How do investors react to different kinds of firm-level environmental, social and governance (ESG) news? In their April 2021 paper entitled “Which Corporate ESG News does the Market React to?”, George Serafeim and Aaron Yoon...
Is outperformance of green (environmentally friendly) stocks relative to brown (not environmentally friendly) stocks due to firm performance or concern about the climate? In other words, do green stocks carry a climate concern premium? In...
Below is a weekly summary of our research findings for 6/28/21 through 7/2/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Overall, how do retail option traders perform compared to institutional counterparts, and what accounts for any performance difference? In their June 2021 paper entitled “Who Profits From Trading Options?”, Jianfeng Hu, Antonia Kirilova, Seongkyu Park...
A subscriber asked for corroboration of an assertion that a negative 30-year U.S. Treasury real yield indicates a good time to buy gold. To investigate, we employ the following monthly data: 30-year U.S. Treasury constant...
How sensitive are returns of stocks, bonds and gold to levels real interest rates (nominal rates minus inflation)? To investigate, we consider three nominal interest rates and two measures of inflation, as follows: 3-month U.S....
Below is a weekly summary of our research findings for 6/21/21 through 6/25/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Why have U.S. public pension, endowment and other non-profit funds (institutional investors) consistently underperformed simple, investible passive benchmarks since 2008? How should they remedy that underperformance? In his April 2021 paper entitled “How to Improve...
What drives the price of gold: inflation, interest rates, stock market behavior, public sentiment? To investigate, we relate monthly and annual spot gold return to changes in: Non-seasonally adjusted Consumer Price Index (CPI). Nominal and real...
A subscriber provided promotional materials for, and requested assessment of, the Artemis Capital Management Dragon portfolio. General allocations for this portfolio are: 24% to secular growth such as U.S. and international stocks. 21% to “long...
Below is a weekly summary of our research findings for 6/14/21 through 6/18/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In view of research indicating that overnight (close-to-open) returns are on average significantly higher than open-to-close returns, a subscriber proposed an enhancement to the Simple Asset Class ETF Momentum Strategy (SACEMS), as follows: Instead of...
Below is a weekly summary of our research findings for 6/7/21 through 6/11/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does the Fama-French 5-factor model (market, size, book-to-market, profitability, investment) of stock returns work for stocks worldwide? In their May 2021 paper entitled “Size, Value, Profitability, and Investment Effects in International Stock Returns: Are They Really...
Is firm book value-to-market price ratio (B/M) obsolete due to growing importance of intangible assets? Is it still widely used by institutional investors? In their May 2021 paper entitled “Going by the Book: Valuation Ratios...
Does failure to replicate dampen interest in previously published research? In their May 2021 paper entitled “Non-replicable Publications Are Cited More Than Replicable Ones”, Marta Serra-Garcia and Uri Gneezy use results of three recent replication...
Below is a weekly summary of our research findings for 6/1/21 through 6/4/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are non-fungible tokens (NFT) the future of music and art valuation? In his April 2021 early/incomplete draft entitled “Virtual Art and Non-fungible Tokens”, Lawrence Trautman describes the new market for digital art, explores the evolution...
Is periodic rebalancing of a stock portfolio advantageous? In his May 2021 paper entitled “Does Volatility Harvesting Really Work?”, Magnus Pedersen compares performances of periodic rebalancing versus no rebalancing (buy-and-hold) for thousands of randomly constructed...
Is the known weakening of stock anomalies after publication due more to in-sample overfitting by researchers or post-publication exploitation by arbitrageurs (market adaptation)? In their May 2021 paper entitled “Why and How Systematic Strategies Decay”,...
Can investors detect when commodity futures momentum, value and carry (basis) strategies are crowded and therefore likely to generate relatively weak returns? In the March 2021 version of their paper entitled “Crowding and Factor Returns”,...