Research links: limited capacity
Tadas Viskanta
Abnormal Returns
1 day ago
1 MIN READ
Quant stuff
- A round-up of recent academic research including ‘Global News Networks and Return Predictability.’ (alphainacademia.substack.com)
- The head the Bureau of Labor Statistics should be able to do economics. (keubiko.substack.com)
- The Wharton School is going to start a master’s program in quantitative finance. (bloomberg.com)
Rates
- When the Taylor Rule fit what the Fed was doing, and when it didn’t. (papers.ssrn.com)
- Are TIPS a good measure of R-star? (libertystreeteconomics.newyorkfed.org)
Concentration
- Can we measure crowdedness in equity markets? (morningstar.com)
- The case against concentrated portfolios. (mailchi.mp)
Research
- “Holding the market” is not as straightforward as it seems. (acadian-asset.com)
- How equity investors view inflationary shocks. (papers.ssrn.com)
- The case for high volatility trend following strategies. (rcmalternatives.com)
- Does overnight news explain overnight returns? (papers.ssrn.com)
- Why you need to be careful assessing the performance of secondary PE fund returns. (morningstar.com)
- How geopolitical risk affects consumers. (papers.ssrn.com)
- The stock-split effect isn’t dead. (papers.ssrn.com)
- Can AI write an analyst report yet? (ft.com)
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