(1) Can The S&P500 Help Forecast Changes In The USD? (6 min read)
A new NBER working paper finds that the current level of the USD has strong predictive power when forecasting future exchange rate changes. So does the real exchange rate, the S&P500 and the Repo rate.
(Sam van de Schootbrugge │ 24th February, 2021)
Do limits to arbitrage explain the benefits of volatility-managed portfolios? (Journal of Financial Economics, 23 page read)
Return signal momentum (Journal of Banking & Finance, 20 page read)
An Assessment Of UK Economy Through Payment Transactions Data (ARXIV, 6 page read)
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