Journal of Investment Strategies

Ali Hirsa
Professor, Columbia University & Managing Partner, Sauma Capital LLC

Welcome to the first issue of the fourteenth volume of The Journal of Investment Strategies, which contains three research papers.

In the first paper in the issue, “Charting the landscape of short selling: an infometric study shaped by market sentiments”, Nitika Sharma, Sridhar Manohar and Amit Mittal clarify how short-selling scenarios are framed to support informed decisions and robust market strategies. Using a bibliometric approach supplemented by news analysis, they review 209 Scopus-indexed articles published prior to May 2024. They utilize tools including VOSVIEWER, SCIMAT and the R software application BIBLIOSHINY to identify clusters, themes and link strengths between short-selling topics. Their analysis reveals four thematic clusters – investment dynamics, investment strategies, optimization strategies and investment efficiency – with internal and external connections mapped via thematic and cluster mapping. By addressing a gap in the literature (there are few comprehensive bibliometric reviews of short-selling), Sharma et al’s study charts the current state of research and outlines future directions, including the integration of short-selling with cryptocurrencies, the role of information asymmetry, and the interaction of short-selling with market fluctuations and market indifference. Overall, the review highlights patterns and themes that can inform a more efficient, transparent and reliable financial system.

The issue’s second paper, “During a health crisis should you invest in gold or oil?” by Rym Regaïeg, Nidhal Mgadmi and Wajdi Moussa, examines the volatility of gold and oil during the Covid-19 pandemic (which the authors take to be from January 9, 2019 to December 9, 2022) using advanced econometric models, including the autoregressive integrated moving average (ARIMA), autoregressive conditional heteroscedasticity (ARCH), generalized ARCH (GARCH), exponential GARCH and threshold GARCH. Amid heightened global uncertainty, gold consistently behaved as a safe haven, preserving value through geopolitical shocks, macro dislocations and the pandemic, whereas oil did not. The assets are interdependent: gold hedges oil-price volatility, and portfolios holding both assets are more resilient than those concentrated in either alone. The volatility evidence also underscores gold’s role as a hedge against geopolitical risk, reinforcing its value for diversification. While the authors note that the quality of data available during the pandemic may have affected the precision of their statistical inferences, the practical implications of their study are nevertheless clear: investors should tilt toward gold in volatile periods, and policymakers can use gold prices as a barometer of systemic stress. Regaïeg et al’s study adds to crisis-period investment research by integrating multiple volatility models to decode gold’s drivers. While reaffirming gold’s safe-haven status, it also highlights limits of volatility-only analysis in isolation. As global crises evolve, gold remains both a resilient portfolio component and a useful indicator of market stress, with implications for portfolio construction and financial-stability monitoring.

Unusually high trading volumes in both stocks and vanilla options before and immediately after quarterly earnings announcements suggest there may be profits to be mined from these events. Prices often trend into the announcement. Does that trend matter? In our third and final paper in this issue, “Do earnings events reset the trading clock?”, Mike Lipkin, Arjun K. M. and Leon Tatevossian examine a large sample of earnings events (approximately 14 000 observations across three widely disparate years) and isolate the subset in which the stock price rose or fell strongly into the earnings date. Their conclusion: no momentum carries through, either in the realized return over the announcement window (which the authors label the “earnings return” or “jump”) or in the subsequent short-horizon performance. It is reasonable to view the trading ecosystem as a mix of well-capitalized firms, individual traders and everything in between – some highly informed, others less so. The surge in stock and option volume around earnings indicates that many participants place (or remove) bets in this window. To provide some color, the authors took Apple as an example. Around the January 30, 2025, earnings announcement (after market close), the average daily volume in the five prior sessions (January 26–January 30) was 65 million shares and 930 000 option contracts. On January 31, volumes jumped to 101 million shares and 2 630 000 contracts. By contrast, over the four sessions following the earnings announcement, volumes averaged 47 million shares and 810 000 contracts: substantially fewer. This pattern is typical. Lipkin et al’s empirical findings indicate that, absent stock-specific idiosyncrasies in price drivers, a naive, directional, earnings-event strategy does not deliver profits. Within the subset of trending names, the authors observe no directional bias in the earnings return, and any pre-earnings trend is extinguished by the announcement. In short, profit expectations for positions carried into earnings are, on average, subject to uninformative randomization.

The editorial board and I extend our sincere gratitude to you, our valued readers, for your unwavering support and interest in our journal. We are delighted to present an expanding collection of practical papers on diverse topics related to modern investment strategies, contributed by both academic and industry experts.