This is a summary of links featured on Quantocracy on Saturday, 01/18/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Breaking Down 50 Years of Industry Data [Fortune Financial]It has long been a belief of mine that the industry in which a company operates has a huge impact on its performance, and that most industries simply are not worthwhile for long-term investment consideration. To further this discussion, I took the detailed industry data found in Professor Ken Frenchs data library, and analyzed the performance of each over the fifty-year period ending in
Research Review | 17 January 2020 | Volatility [Capital Spectator]Macro News and Long-Run Volatility Expectations Anders Vilhelmsson (Lund University) December 10, 2019 I propose a new model-free method for estimating long-run changes in expected volatility using VIX futures contracts. The method is applied to measure the effect on stock market volatility of scheduled macroeconomic news announcements. I find that looking at long-run changes gives qualitatively