Investing Research Articles

Do returns for U.S. stock options exhibit half-day momentum/reversal effects? In their August 2025 paper entitled “In Search of Seasonality in Intraday and Overnight Option Returns”, Turan Bali, Amit Goyal, Mathis Moerke and Florian Weigert examine momentum and reversal patterns in half-day (intraday and overnight) option returns. They specify intraday return as that from 10:00AM… Keep Reading

Some stock market experts cite the year (1, 2, 3 or 4) of the U.S. presidential term cycle as a useful indicator of U.S. stock market returns. Game theory suggests that presidents deliver bad news immediately after being elected and do everything in their power to create good news just before ensuing biennial elections. Are… Keep Reading

Do exchange-traded funds (ETF) that track asset classes, such as those used in the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS), exhibit reliable seasonalities? To check, we look at average return by calendar month for the following nine ETFs: SPDR S&P 500 ETF Trust (SPY) iShares… Keep Reading

Does the Labor Day holiday, marking the end of summer distractions, signal unusual return effects by refocusing U.S. stock investors on managing their portfolios? By its definition, this holiday brings with it any effects from the turn of the month. To investigate the possibility of short-term effects on stock market returns around Labor Day, we… Keep Reading

Below is a weekly summary of our research findings for 8/18/25 through 8/22/25. 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.

How should global investors assess country sovereign bond and equity risks? In his July 2025 paper entitled “Country Risk: Determinants, Measures and Implications – The 2025 Edition”, Aswath Damodaran examines country risk from multiple perspectives. To estimate a country risk premium, he considers direct and indirect measures of country government bond risk and country equity… Keep Reading

Do a relatively few stocks drive the alphas of many anomalies? In the May 2025 revision of his paper entitled “The Intersection of Expected Returns”, Austin Sobotka explores stock overlap among the portfolios of 164 cross-sectional asset pricing anomalies. Specifically, he each month: Ranks stocks into tenths (deciles) by each anomaly characteristic, lagged by one… Keep Reading

Do alternative “Cash” (deemed risk-free) instruments materially affect performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS)? Changing the proxy for Cash can affect how often the model selects Cash, as well as the return on Cash when selected. To investigate, we test separately each of the following yield and exchange-traded funds (ETF) as the… Keep Reading

Does adding an exchange-traded fund (ETF) or note (ETN) to the Simple Asset Class ETF Momentum Strategy (SACEMS) boost performance via consideration of more trending/diversifying options? To investigate, we add the following 24 ETF/ETN asset class proxies one at a time to the base set and measure effects on the Top 1, equally weighted (EW)… Keep Reading

Are all of the potentially trending/diversifying asset class proxies used in the Simple Asset Class ETF Momentum Strategy (SACEMS) necessary? Might one or more of them actually be harmful to performance? To investigate, we each month rank the nine SACEMS assets based on past return with one excluded (nine separate test series) and reform the… Keep Reading