Apparently, momentum stocks have an extra kick based on the day-of-the-week. While the reasons given for it are plausible, I’m not sure if there were arrived at after datamining or if they are genuine. Thought it was interesting enough: Same-Weekday Momentum
Markets this Week
All time highs everywhere!
More here: country ETFs, fixed income, currencies and commodities.
Links
Research
The 52-Week High, Downside Risk, and Corporate Bond Returns (SSRN)
We show that the 52-week high stock anomaly predicts corporate bond returns. By anchoring on the 52-week high, the price-to-high (PTH) ratio provides the stock market's strongest perspective on negative productivity shocks and potential downside risk of the firm. Empirically, PTH is inversely related to credit spreads and forecasts negative earnings surprises and ratings downgrades.
Stock-Bond Correlation (SSRN)
We show that the stock-bond correlation is mainly explained by the extreme market regimes, since the stock-bond correlation can be assumed to be zero in normal market regimes.
Ponzi Funds (SSRN)
Many active funds hold concentrated portfolios. Flow-driven trading in these securities causes price pressure, which pushes up the funds' existing positions resulting in realized returns. We decompose fund returns into a price pressure (self-inflated) and a fundamental component and show that when allocating capital across funds, investors are unable to identify whether realized returns are self-inflated or fundamental. Because investors chase self-inflated fund returns at a high frequency, even short-lived impact meaningfully affects fund flows at longer time scales. The combination of price impact and return chasing causes an endogenous feedback loop and a reallocation of wealth to early fund investors, which unravels once the price pressure reverts.
Is ESG a Luxury Good? (SSRN)
We consider whether ESG is a luxury good—a good whose high price tag stimulates demand. During times of economic prosperity, shareholders expressed willingness to sacrifice personal financial benefit to see environmental and social objectives advanced, but in times of adversity, their willingness to suffer personal financial loss in support of ESG has collapsed.
Financial Statement Analysis with Large Language Models (SSRN)
We investigate whether an LLM can successfully perform financial statement analysis in a way similar to a professional human analyst. Even without any narrative or industry-specific information, the LLM outperforms financial analysts in its ability to predict earnings changes. We find that the LLM generates useful narrative insights about a company's future performance. Lastly, our trading strategies based on GPT's predictions yield a higher Sharpe ratio and alphas than strategies based on other models. Taken together, our results suggest that LLMs may take a central role in decision-making.
U.S. Liquid Government Liabilities and Emerging Market Capital Flows (NBER)
Empirical work finds that flows of investments from the U.S. and other high income countries to emerging markets increase during times of quantitative easing by the U.S. Federal Reserve, and the reverse movement occurs under quantitative tightening.
Economy & Investing
US Stocks Beat Predictions Over the Past Decade. Can They Do It Again? (morningstar)
Where are the world's rich migrating to in 2024? (business-standard). Source: The Henley Private Wealth Migration Report 2024
Feel like the hammer is going to come down on derivative trading in India. SEBI plans tweaks to address derivative trading risks (reuters)
Job creation is India's top economic challenge (reuters)
India’s electronics industry is surging (livemint)
How India's defence sector is going all guns blazing (livemint)
India's economic expansion cycle is still going strong (livemint)
Norway discovers Europe's largest deposit of rare earth metals (cnbc)
Hedge Funds Pile Into Copycat Quant Trades They Once Derided (bloomberg)
Payoff from AI projects is 'dismal', biz leaders complain (theregister)
Citi Sees AI Displacing More Bank Jobs Than Any Other Sector (yahoo)
Ethanol is just comically inefficient solar energy (thefern)
We’re All Soviets Now (thefp). No, we’re not (thedispatch).