One of the major focuses of our global macro research is on alternative Big Data. In this research, we introduce Prattle’s global central bank sentiment database. We source Prattle’s data via Benzinga’s platform. Prattle is a textual analytics company, providing NLP on official announcements (e.g., speeches, press releases, meeting minutes) from central banks globally in real-time.
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Major M&A transactions almost always make the headline news and capture investor attention. In a typical takeover deal, the acquirer offers a significant premium over the target firm’s prevailing share price. The upside from accurately identifying takeover targets is significant. However, we have to be mindful that M&A transactions are rare events – on average, at any given point-in-time, only 0.5% companies are actual targets.
Wolfe Research Vice Chairman of QES Research, Yin Luo, discussed his newly launched systematic global macro, economics, and portfolio strategy research series.
There are simply too many discretionary market commentators providing economic forecast and portfolio strategy advice. In contrast, our views on asset classes,countries/regions, sectors and styles are completely systematic, model-driven, and free from human behavioral biases. This is Part I of our initial launch of economics and portfolio strategy research. The companion research piece, Systematic Global Macro Investing presents our current recommendations.
This is Part II of our initial launch of the global macro, economics, and portfolio strategy research. This research report focuses on current economic forecasts, asset allocation, sector/industry rotation, and global style timing recommendations. In a companion research (see Part I – From Nowcasting to Forecasting), we provide a more in-depth description of our research methodology.
The number of companies performing share splits has steadily declined over the past 30 years. As a result, there has been a significant increase in the number of companies exhibiting higher unadjusted share prices. Companies may get a sense of pride and attention with elevated share prices but this is difficult to objectify. More importantly, we find that companies with higher share prices have three beneficial characteristics when analyzed through a quantitative lens.
Securities lending data provided by Exchanges suffer from delays, coverage issues and other inconsistencies. In this research, we introduce Markit Securities Finance (MSF) database that provides comprehensive coverage of the global securities lending market. We construct a suite of stock-selection factors globally, covering demand (e.g., Days to Cover), supply (e.g., Lendable Inventory), supply-demand (e.g., Utilization), cost (e.g., Cost-of-Borrow), and other categories of data from the MSF database.
This month, we highlight a paper studying how credit card payment data can be used in stock selection (see Agarwal, et al [2017). Furthermore, (see Rohal, et al ), Chew, et al  provides a relatively complete framework for textual analysis. Both credit card payment and NLP are active areas of research that we are currently pursuing. However, the relatively short history of data coverage for most alternative data sources pose a serious challenge for statistical analysis. Ledoit, et al  introduce the DCC-NL covariance matrix estimator and show how it can be used in cross-sectional market anomaly detection, especially limited data history.
Wolfe Research Director of QES, Javed Jussa, hosted a Webcast with Mike Gantcher, Partner for RS Metrics, and Adrienne Yih, Managing Director of Retailing at Wolfe Research.
Wolfe Research Senior Quantitative Analyst, Yin Luo, with associate analyst Sheng Wang hosted a webcast with Leigh Drogen from Estimize.
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