This is a summary of links featured on Quantocracy on Tuesday, 04/20/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Market Sentiment and an Overnight Anomaly [Quantpedia]Various research papers show that market sentiment, also called investor sentiment, plays a role in market returns. Market sentiment refers to the general mood on the financial markets and investors overall tendency to trade. The mood on the market is divided into two main types, bullish and bearish. Naturally, rising prices indicate bullish sentiment. On the other hand, falling prices indicate
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Climate Change and Asset Allocation [Alpha Architect]This article focuses on climate-aware asset allocation and the associated impacts of higher temperatures on equity excess returns and risk. The objective of this research is to demonstrate how portfolios can incorporate climate change risk and rewards into the decision-making process. The research does not comment The analysis proceeds in two steps: Determine estimates of how climate change