This is a summary of links featured on Quantocracy on Thursday, 08/29/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Free Financial, Fundamental and Macroeconomic Data with R examples [Open Quants]In this Article, we will show how to obtain free financial data including: End-of-day and real-time pricing; Company financials; Macroeconomic data. Data sources utilized in this Article include: U.S. Securities and Exchange Commission (SEC); Quandl; IEX; Alpha Vantage. We also provide code to reproduce results as part of our Open Source Live Book Initiative.
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Can We Explain the Low Volatility Anomaly? [Alpha Architect]One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relation between risk and return. But empirical studies have found the actual relation to be flat, or even negative. Over the last 50 years, the most defensive (low-volatility, low-risk) stocks have delivered both higher returns and higher