This is a summary of links featured on Quantocracy on Saturday, 02/25/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Inside the Minds of Expected Stock Returns [Alpha Architect]Financial literature has produced a long list of firm characteristics (referred to as factors) that provide information as to future stock returns, with the explanation for the casual relationship between the characteristics and returns being either risk- or behavioral-based. The traditional finance (risk-based) explanation is that stocks with certain characteristics tend to perform worse when the
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How to Deal With Missing Financial Data [Quantpedia]The problem of missing financial data is widespread yet often overlooked. An interesting insight into the structure of missing financial data provides a novel research paper by authors Bryzgalova et al. (2022). Firstly, examining the dataset of the 45 most popular characteristics in asset pricing, the authors found that missing data is frequent among almost any characteristic and affects all kinds
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Predicting base metal futures returns with economic data [SR SV]Unlike other derivatives markets, for commodity futures, there is a direct relation between economic activity and demand for the underlying assets. Data on industrial production and inventory build-ups indicate whether recent past demand for industrial commodities has been excessive or repressed. This helps to spot temporary price exaggerations. Moreover, changes in manufacturing sentiment should