This is a summary of links featured on Quantocracy on Monday, 04/10/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Terms of trade as FX trading signal [SR SV]All other things equal, an improvement in a countrys terms of trade, the ratio of export to import prices, translates into increased demand for its currency and a boost for its growth outlook. However, terms of trade are a rather subtle and sporadic influence. Therefore, many market participants are rationally inattentive to smaller changes and unwilling to trade on large changes in times of
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Informational Efficiency of Stock Prices and Index Investing [Alpha Architect]The authors ask the following questions: Does the rise of index investing change information production in the economy? Does it affect the informational efficiency of stock prices? What are the Academic Insights? The authors augment (and improve) the Grossman and Stiglitz (1980) model of endogenous information acquisition by including a choice by investors where investors choose to be passive,
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The Alpha Games: Technology Funds [Finominal]US tech funds underperformed their benchmark indices by 4% between 2018 and 2022 The factor contributions were marginal This resulted in a median alpha of -4% over the 5-year period INTRODUCTION Every day, fortunes are won and lost on the stock market. However, investing in stocks is not a zero-sum game as wealth is created from the profits earned and distributed by public companies. In contrast,