The Many Facets of Stock Momentum: Distinguishing Factor and Stock Components
The paper by Gerard and Jehl demonstrates a durable, stock‑specific momentum component that stems from price reactions around earnings announcements, distinct from traditional factor‑driven momentum. By isolating returns in short windows surrounding each firm’s earnings over the prior year, the authors show this earnings‑announcement signal predicts future performance in the US, Europe and Japan for three decades. The component exhibits lower systematic risk, reduced turnover, and no long‑run reversal, offering a cleaner, lower‑risk way to capture momentum. Classic 12‑month momentum, by contrast, remains heavily tied to market, value and industry factors.
The Performance of Small Business Investment Companies
The Small Business Investment Company (SBIC) program, created in 1958, lets private funds invest in U.S. small firms with SBA‑backed leverage. A 2026 Financial Analyst Journal study finds SBIC funds from 2000‑2020 generated an average net IRR of 15.9% and...
Unlocking Hidden Patterns: How Daily Returns Predict Future Stock Performance
Researchers Cakici, Fieberg, Neszveda, Bianchi and Zaremba introduced the Daily Return Information (DRI) signal, extracting chronological and rank information from a month’s daily returns using elastic‑net regression. The resulting Daily Return Information Factor (DRIF) delivers about 1.57% monthly (≈19% annualized)...
Increases CAPE Ratio Predictability with a Simple Adjustment
A new working paper demonstrates that a simple adjustment to the cyclically adjusted price‑earnings (CAPE) ratio—aligning index constituents and applying market‑cap weights—significantly sharpens its ability to forecast ten‑year equity returns. The revised Component CAPE delivers an out‑of‑sample R² of 0.575,...
Unlocking Hidden Value: How Corporate Language Reveals the Future of Intangible Investment
A new study introduces an "intangible intensity" metric that gauges how much corporate language in 10‑K filings focuses on knowledge, customer, and organization capital. By applying large‑language‑model text analysis to over 10,000 public firms from 2002‑2023, the researchers link higher...
The Best Defensive Strategies: Two Centuries of Evidence
The paper extends defensive‑strategy testing back to 1800, revealing that systematic trend‑following and a revised defensive‑absolute‑return overlay (DAR4020) consistently protect a 60/40 portfolio during its worst months. Traditional safe‑haven assets such as gold and continuously‑bought equity puts underperform or erode...
The Long Volatility Premium: Short the Market, Get Paid?
Patrick Kazley’s new paper argues that the apparent drag from buying put options is largely a hidden short‑beta exposure, not an inherent cost of long volatility. By neutralizing this beta, a pure long‑volatility factor delivers positive returns over time. The...
