This is a summary of links featured on Quantocracy on Saturday, 05/26/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Investor Attention and the Low Volatility Anomaly [Alpha Architect]One of the big problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it predicts a positive relationship between risk and return. However, the historical evidence demonstrates that while the slope of the security market line is generally positive (higher-beta stocks provide higher returns than low-beta stocks), it is
Research Review | 25 May 2018 | Business Cycle Risk [Capital Spectator]Is Fertility a Leading Economic Indicator? Kasey Buckles (University of Notre Dame), at al. March 28, 2018 Many papers show that aggregate fertility is pro-cyclical over the business cycle. In this paper we do something else: using data on more than 100 million births and focusing on within-year changes in fertility, we show that for recent recessions in the United States, the growth rate for