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Low‐Risk Anomalies? (The Journal of Finance, 42-page read) This paper shows that low‐risk anomalies in the CAPM and traditional factor models arise when investors require compensation for co-skewness risk. It also confirms that the returns of beta‐ and volatility‐sorted portfolios are primarily driven by a single principal component, which in turn is explained mainly by skewness.
Crisis Dashboard: Big Data Helps Paint the Big Picture (Advisor Perspectives, 4 min read) A crisis dashboard that includes signals from three areas: public health, households/consumers and financial markets. It was constructed by using big data from traditional sources (e.g. earnings growth and GDP) and non-traditional sources (e.g. Google Trends and Glassdoor). In essence, the current state does not signal any improvement.
Tracking the COVID-19 Crisis Through the Lens of 1.4 Billion Transactions (VOXEU, 11 min read) Individual transaction-level data can be used to map real-time tracking of economic consumer behaviour in response to the COVID-19 lockdown measures. The authors find evidence sizeable anticipatory spending (stockpiling) and a positive relationship between the prevalence of the pandemic and the degree of economic collapse in Spain.