This is a summary of links featured on Quantocracy on Monday, 01/25/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Market Timing via the VRP? [Factor Research]Stock market returns were highly positive when the variance risk premium (VRP) was negative Returns were slightly negative across markets when the VRP was positive This relationship can not be exploited for market timing INTRODUCTION The US stock market in 1999 and 2020 had probably more similarities than differences. In both years the market was up considerably, retail investors were highly
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Macro uncertainty as predictor of market volatility [SR SV]Market volatility measures the size of variations of asset returns. Macroeconomic uncertainty measures the size of unpredictable disturbances in economic activity. Large moves in macroeconomic uncertainty are less frequent and more persistent than shifts in market volatility. However, macroeconomic uncertainty is an important driver of market volatility because it is related to future earnings and