Quantpedia Premium Update – 30th October 2019
Three new strategies have been added: #453 - Machine Learning Adaptive Portfolio Asset Allocation #454 - Time Series Momentum Strategies Using Deep Neural Networks #455 - Nonlinear Support Vector...
View ArticleWhat if Cryptos Succeed Only After the US has Locked Itself Out?
Recent developments in cryptocurrency have brought new currencies and more uncertainty about them and some of the underlying investments in this brave new world. Anthony Pompliano, a founder and...
View ArticleHouses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty
ABSTRACT Mortgage refinancing activity associated with extraction of home equity contains a strongly countercyclical component consistent with household demand for liquidity. We estimate a structural...
View ArticleAccess to Collateral and The Democratization of Credit: France's Reform of...
ABSTRACT France's Ordonnance 2006â346 repudiated the notion of possessory ownership in the Napoleonic Code, easing the pledge of physical assets in a country where credit was highly concentrated. A...
View ArticleDoes Borrowing from Banks Cost More than Borrowing from the Market?
ABSTRACT This paper investigates the pricing of bank loans relative to capital market debt. The analysis uses a novel sample of loans matched with bond spreads from the same firm on the same date....
View ArticleTrading Against the Random Expiration of Private Information: A Natural...
ABSTRACT For years, the SEC accidentally distributed securities disclosures to some investors before the public. We expolit this setting, which is unique because the delay until public disclosure was...
View ArticleThe Market for Conflicted Advice
ABSTRACT We present a model of the market for advice in which advisers have conflicts of interest and compete for heterogeneous customers through information provision. The competitive equilibrium...
View ArticleTax�Efficient Asset Management: Evidence from Equity Mutual Funds
ABSTRACT We investigate the relation between tax burdens and mutual fund performance from both a theoretical and an empirical perspective. The theoretical model introduces heterogeneous tax clienteles...
View ArticleA Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity...
ABSTRACT This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Shortâterm position changes are driven mainly by the...
View ArticleStimulating Housing Markets
ABSTRACT We study temporary fiscal stimulus designed to support distressed housing markets by inducing demand from buyers in the private market. Using differenceâinâdifferences and regression kink...
View ArticleWhy Don't We Agree? Evidence from a Social Network of Investors
ABSTRACT We study sources of investor disagreement using sentiment of investors from a social media investing platform, combined with information on the users' investment approaches (e.g., technical,...
View ArticleOn Comparing Asset Pricing Models
ABSTRACT Revisiting the framework of Barillas and Shanken (2018), BS henceforth, we show that the Bayesian marginal likelihoodâbased model comparison method in that paper is unsound: the priors on...
View ArticleRobust Inference for Consumption�Based Asset Pricing
ABSTRACT The reliability of traditional asset pricing tests depends on: (1) the correlations between asset returns and factors; (2) the timeâseries sample size T compared to the number of assets N....
View ArticleInformed Trading and Intertemporal Substitution
ABSTRACT I examine the possibility of informationâbased trading in a multiperiod consumption setting. I develop a necessary and sufficient condition for trade to occur. Intertemporal substitution...
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