Global vs. Local News and Future Equity Market Returns: Is relevant news sentiment from other countries additive to local news in predicting country stock market returns? In their August 2025 paper entitled "Global News Networks and Return Predictability", Gustavo Freire, Ali

Weekly Summary of Research Findings: 9/22/25 - 9/26/25: Below is a weekly summary of our research findings for 9/22/25 through 9/26/25. 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.

Live Test of the Short-term Reversal Effect: "Compendium of Live ETF Factor/Niche Premium Capture Tests" summarizes results for its eponymous title. Here we add a live test of the short-term reversal effect among U.S. stocks. Specifically, we examine the performance of the now

SACEVS-SACEMS for Value-Momentum Diversification: Are the "Simple Asset Class ETF Value Strategy" (SACEVS) and the "Simple Asset Class ETF Momentum Strategy" (SACEMS) mutually diversifying. To check, based on feedback from subscribers about combinations of interest, we look at

Preliminary SACEMS and SACEVS Allocation Updates: The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for October 2025. SACEMS rankings probably will not change by the close, but

SACEMS, SACEVS and Trading Calendar Updates: We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined

ETH-BTC Lead-lag Relationship?: Do Ethereum (ETH) and Bitcoin (BTC) exhibit a reliable lead-lag relationship? To investigate, we compute: Pearson correlations between daily ETH return and daily BTC return for relationships ranging from BTC return leads ETH return by 10 days (-10)

GDP Growth and Stock Market Returns: The U.S. Bureau of Economic Analysis (BEA) each quarter estimates economic growth via changes in Gross Domestic Product (GDP) and its Personal Consumption Expenditures (PCE), Private Domestic Investment (PDI) and government spending

Reflections on Investing from Campbell Harvey: What are life lessons from one of the leading researchers in finance? In the August 2025 transcript of his interview entitled "My Life in Finance in 12 Questions", Campbell Harvey offers the following notable points relevant

Weekly Summary of Research Findings: 9/29/25 - 10/3/25: Below is a weekly summary of our research findings for 9/29/25 through 10/3/25. 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.

ADP Employment Report and Stock Returns: Since January 2010, the ADP National Employment Report, in collaboration with the Stanford Digital Economy Lab, has published a monthly estimate of U.S. nonfarm private sector employment using actual payroll data. "The ADP National

How to Approach Long-only Equity Factor Allocations: How can investors and fund managers best exploit premiums associated with value, momentum, profitability, investment and low volatility factors, either to generate absolute return or to beat a market benchmark? In his September

Value Line Return Expectations and Future Stock Market Returns: Are there any experts who can reliably predict stock market returns? In their September 2025 paper entitled "Beliefs and Stock Market Fluctuations: New Evidence from the Past Seven Decades", David Thesmar and Emil

Investors Expecting Earnings Growth and P/E Expansion?: Is it reasonable to assume that strong earnings growth and price-to-earnings ratio (P/E) expansion will sustain the unusually strong U.S. stock market returns of the past decade? In his brief September 2025 paper entitled

Does the Turn-of-the-Month Effect Work for Sectors?: A reader inquired whether the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, works for U.S. stock market sectors. To investigate, we measure turn-of-the-month

Weekly Summary of Research Findings: 10/6/25 - 10/10/25: Below is a weekly summary of our research findings for 10/6/25 through 10/10/25. 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.

Does the Turn-of-the-Month Effect Work for Asset Classes?: Does the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, work across a broad set of asset classes. To investigate, we measure turn-of-the-month (TOTM)

Do ETFs Following Gurus/Insiders Work?: Do exchange-traded funds (ETF) that seek to mimic holdings of top-ranked hedge funds, firm insiders or other investing gurus offer attractive performance? To investigate, we consider nine ETFs, five live and four dead, in order of

Are Target Retirement Date Funds Attractive?: Do target retirement date funds, offering glidepaths that shift asset allocations away from equities and toward bonds as target dates approach, safely generate attractive returns? To investigate, we consider seven such mutual funds

Yield Curve as a Stock Market Indicator: Conventional wisdom holds that a steep yield curve (wide U.S. Treasuries term spread) is good for stocks, while a flat/inverted curve is bad. Is this wisdom correct and exploitable? To investigate, we consider in-sample tests of the