"What Kind of Asset Is Bitcoin?" assesses relationships between of the Grayscale Bitcoin Trust ETF (GBTC) as a proxy for bitcoin holdings and each of 35 exchange-traded products based on daily and monthly return correlations. How are such ...
Does the evolution of empirical asset pricing point inevitably to machine learning methods? In his February 2025 paper entitled "From Econometrics to Machine Learning: Transforming Empirical Asset Pricing", Chuan Shi summarizes the transition from ...
"U.S. Stock Market Death Crosses and Golden Crosses" employs long samples to examine behaviors of the Dow Jones Industrial Average and the S&P 500 Index after death crosses and golden crosses, respectively the 50-day simple moving average crossing ...
A subscriber suggested looking at the S&P 500 price-to-sales ratio (P/S) as an indicator for timing the U.S. stock market. To investigate, we relate P/S and change in P/S to S&P 500 Index (SP500) quarterly returns, as follows: Conduct lead-lag ...
Below is a weekly summary of our research findings for 4/28/25 through 5/2/25. 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 ...
Can aggregate, distilled daily stock sentiment and attention, as extracted from financial social media, usefully predict U.S. stock market returns? In their March 2025 paper entitled "Market Signals from Social Media", Anthony Cookson, Runjing Lu,
Is the ratio of implied volatility of implied volatility (CBOE VVIX Index), interpretable as a measure of changes in investor fear level, to the CBOE VIX Index itself a useful indicator of future stock market returns? To investigate, we relate ...
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 Value-Momentum Strategy.
The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for May 2025. SACEMS rankings probably will not change by the close. SACEVS allocations are unlikely to ...
Is the implied volatility of implied volatility (CBOE VVIX Index), interpretable as a measure of changes in investor fear level, a useful indicator of future stock market returns? To investigate, we relate monthly VVIX and monthly change in VVIX to ...
Do alternative investments (real estate, venture capital, private equity, hedge funds, private credit, infrastructure and energy investments) offer attractive returns and diversification, buffering investors from the vagaries of the stock market? In ...
