This article is only available to Macro Hive subscribers. Sign-up to receive world-class macro analysis with a daily curated newsletter, podcast, original content from award-winning researchers, cross market strategy, equity insights, trade ideas, crypto flow frameworks, academic paper summaries, explanation and analysis of market-moving events, community investor chat room, and more.
Stock return co-movement when investors are distracted: more, and more homogeneous (ECB, 21-page read) During 59 high profile FIFA World Cup matches which overlapped with trading hours, it was discovered that investors become side-tracked from stock-specific news and global news. As a result, this increased the sensitivity of individual stocks prices to the price action of the market index (convergence of beta).
Why Economic Forecasting Is So Difficult in the Pandemic (Harvard Business Review, 6 min read) First, the pace of frequent policy changes is difficult to keep up with and incorporate within models (i.e. how do you model a lockdown with no end date?). Second, amid the pandemic economic data that is collected may be unreliable (i.e. there are sampling errors due to the low response rate). Finally, forecasting the evolution of this pandemic is tough and requires adopting models from epidemiology, which is novel for an economist.