This is a summary of links featured on Quantocracy on Monday, 09/20/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Researcher Motives [CXO Advisory]Do motives of financial market researchers justify strong skepticism of their findings? In his brief August 2021 paper entitled Be Skeptical of Asset Management Research, Campbell Harvey argues that economic incentives undermine belief in findings of both academic and practitioner financial market researchers. Based on his 35 years as an academic, advisor to asset management companies and
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Are Stock Markets Becoming More Correlated? [Factor Research]The correlation of stock markets has stopped increasing since the GFC The Value and Momentum factors are trading at peak correlations Correlations can change dramatically when using different data sources INTRODUCTION Globalization is less of a smooth ride on a river barge and more akin to river rafting. There might be calm stretches with glorious mountain views, but also rapids and waterfalls.
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Research Review | 17 Sep 2021 | Financial Shocks And Crises [Capital Spectator]We present a new database of banking-crisis interventions since the 13th century. The database includes 1886 interventions in 20 categories across 138 countries, covering interventions during all of the crises identified in the main banking-crisis chronologies, while also cataloguing a large number of interventions outside of those crises. The data show a gradual shift over the past centuries from