Paper in reading: Amman, Cochardt Cohen and Heller (2024), Hidden Alpha, Working Paper, https://www.hbs.edu/faculty/Pages/item.aspx?num=63490 Fund managers’ social network might have impact on fund performance due to information flow or information advantage. A fund manager’s social network can be identified via several ways including shared education network and residence in the same neighborhood. From shared educationContinue reading “Alpha Research: social network alpha uncovered from hidden Facebook connections?”
Tag Archives: assetpricing
How a President’s Economic Approval Ratings Impact Stock Returns?
Callum Thomas provides an interesting chart in his weekly char pack about seasonality for S&P 500 in the 3rd year of an election cycle. According to his charts, the market is generally positive for the first half of the year. For the second half, the market remains around a certain level for until a furtherContinue reading “How a President’s Economic Approval Ratings Impact Stock Returns?”
Investor Sentiment
Mai, Pukthuanthong and Zhou (2022) published a paper studying the return predictability of investor sentiment across four different asset classes including both traditional financial assets and bitcoin. The full paper can be found on SSRN: Mai, Pukthuanthong and Zhou (2022) An early study by Baker and Wurgler (2006) provides some empirical justifications of using investorContinue reading “Investor Sentiment”
Eddy Zhang 