Below is a weekly summary of our research findings for 11/9/20 through 11/13/20. 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 U.S. stock market value sensitive to flows of new funds (inelastic)? In their October 2020 paper entitled “In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis”, Xavier Gabaix and Ralph...
Does technology amplify adverse herding among inexperienced investors? In their October 2020 paper entitled “Attention Induced Trading and Returns: Evidence from Robinhood Users”, Brad Barber, Xing Huang, Terrance Odean and Christopher Schwarz test the relationship...
Has growth in the importance of intangible (knowledge) assets versus real assets undermined usefulness of the conventional equity value premium (based only on the latter)? In her September 2020 paper entitled “Intangibles: The Missing Ingredient...
A subscriber requested, as in “Combine Market Trend and Economic Trend Signals?”, testing of a strategy that combines: (1) U.S. Economic Policy Uncertainty (EPU) Index, as described and tested separately in “Economic Policy Uncertainty and...
Below is a weekly summary of our research findings for 11/2/20 through 11/6/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do non-professional analysts who publish on Seeking Alpha offer valuable stock-picking advice? In their August 2020 paper entitled “The Cross-Section of Non-Professional Analyst Skill”, Michael Farrell, Russell Jame and Tian Qiu measure skill among such...
A subscriber requested testing of a dual simple moving average (SMA) crossover strategy that holds SPDR S&P 500 (SPY) when its 30-day SMA (SMA30d, using 30 trading days) is above its 9-month SMA (SMA9m) and...
Benford’s law states that the probability of the value of the first digit in many naturally occurring samples of numbers, including asset prices, varies inversely with digit magnitude. For example, the number 1 (9) appears...
Below is a weekly summary of our research findings for 10/26/20 through 10/30/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is there a way to restore confidence in a value premium? In their September 2020 paper entitled “Resurrecting the Value Premium”, David Blitz and Matthias Hanauer seek a reliable value premium via three adjustments to...
Below is a weekly summary of our research findings for 10/19/20 through 10/23/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is there a better way to identify attractive and unattractive assets than simply ranking them? In the August 2020 version of their paper entitled “Decoding Systematic Relative Investing: A Pairs Approach”, Christian Goulding, Campbell Harvey...
Does equity factor portfolio reformation (rebalancing) schedule materially affect portfolio performance? In their February 2020 paper entitled “Rebalance Timing Luck: The (Dumb) Luck of Smart Beta”, Corey Hoffstein, Nathan Faber and Steven Braun measure rebalance...
Subscribers have asked whether substituting Market Vectors Gold Miners ETF (GDX) for SPDR Gold Shares (GLD) as a proxy for gold improves the performance of the Simple Asset Class ETF Momentum Strategy (SACEMS)? To check, we...
Below is a weekly summary of our research findings for 10/12/20 through 10/16/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Which institutional investors do best and why? In the September 2020 update of their paper entitled “The Canadian Pension Fund Model: A Quantitative Portrait”, Alexander Beath, Sebastien Betermier, Chris Flynn and Quentin Spehner compare performances...
Based on the conventional definition of the value premium, value underperforms growth over last 13.5 years with maximum drawdown of a long value-short growth portfolio -55%. Is value investing dead? In the August 2020 update...
What economic/financial variables are most useful in predicting re-election prospects for incumbent U.S. presidents? In the November 2012 revision of their paper entitled “Social Mood, Stock Market Performance and U.S. Presidential Elections: A Socionomic Perspective...
Is gold a hedge and safe haven for other asset classes globally? In their September 2020 paper entitled “Gold as a Financial Instrument”, Pedro Gomis‐Porqueras, Shuping Shi and David Tan explore effectiveness of gold as...
Below is a weekly summary of our research findings for 10/5/20 through 10/9/20. 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 different asset classes interact with the Chinese yuan-U.S. dollar exchange rate? To investigate, we consider relationships between WisdomTree Chinese Yuan Strategy (CYB) and the exchange-traded fund (ETF) asset class proxies used in the...
Do sophisticated investors choose investment managers wisely? In their July 2020 paper entitled “Choosing Investment Managers”, Amit Goyal, Sunil Wahal and Deniz Yavuz investigate how institutional investors select investment managers for public equity and fixed...
Are typical investors persistently irrational in pursuit of wealth, or pursuing more than wealth? In his December 2019 book entitled Behavioral Finance: The Second Generation, Meir Statman describes and discusses second-generation behavioral finance, which replaces...
Below is a weekly summary of our research findings for 9/28/20 through 10/2/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...