This is a summary of links featured on Quantocracy on Thursday, 10/24/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Predictable End-of-Month Treasury ETF Returns [Allocate Smartly]The inspiration for this post comes from a new paper titled Predictable End-of-Month Treasury Returns (h/t Capital Spectator). A description from the authors: We document a distinct pattern in the timing of excess returns on coupon Treasury securities. Average returns are positive and highly significant in the last few days of the month and are not significantly different from zero at other times.
-
Core Earnings: New Data and Evidence [Alpha Architect]Researchers love novel datasetsit gives them a new set of information to conduct studies and test theories. That brings us to this paper, titled Core Earnings: New Data and Evidence by Ethan Rouen, Eric So, and Charles C.Y. Wang. The paper uses a novel database created by our friends at NewConstructs. What is new in this database? Essentially, the database attempts to adjust a firms