Academic research on markets and economies
A round-up of some of the best recent academic pieces
Below, you’ll find a selection of the most fascinating academic papers that have been uploaded onto the Savvy platform in recent months. The topics explored include the fate of the U.S. dollar, AI, market volatility, and value investing.
Global FOMO: The Pulse of Financial Markets Worldwide (University of Colorado)
The Global Fear of Missing Out Index is a monthly sentiment measure built from Google Trends data, capturing psychological forces driving global markets.
Market Valuation of Climate Patents: The Most Valuable Innovations (Amundi)
For compliance reasons, this paper is NOT accessible in the United States
Focusing on technological innovation is attractive for investors and policymakers alike. Doing so offers a pathway to limit climate change without sacrificing economic progress.
Dollar Upheaval: This Time is Different
The current U.S. administration intends to re-engineer the financial and trade linkages of the U.S. with the rest of the world.
Pricing of Corporate Bonds: Evidence From a Century-Long Cross-Section
The corporate bond market, a cornerstone of capital markets, plays a critical role alongside the stock market in raising capital and financing long-term investments for firms.
Dynamic Asset Allocation with Reinforcement Learning
Portfolio optimization is a core problem in both financial theory and investment practice.
Hidden Risk (U.S. Federal Reserve)
Over the last 40 years, the importance of capital markets and asset managers in financial intermediation has grown substantially.
Climate Beta: A Forward-Looking Lens on Transition Risk (Robeco)
While climate transition risk has become a critical concern for most investors, addressing it presents inherent challenges, many of which are data related.
Post-Award Performance of Superstar Mutual Fund Managers (Fudan University)
The existing literature on star funds has predominantly examined the relationship between fund ratings and fund flows as well as future performance outcomes.
Explaining the Recent Failure of Value Investing
The value strategy is often traced to Ben Graham, and is based on the premise that among low-valuation stocks are many undervalued ones, relative to fundamentals.
Firm-Specific versus Systematic Momentum
The paper clearly shows that successful medium-term stock momentum strategies are primarily driven by firm-specific signals.
Trading VIX on Volatility Forecasts: Another Volatility Puzzle? (Bank of Greece)
A growing body of literature recognizes the importance of stock market volatility forecasting.
