Bond Risk Under Uncertainty: Pricing Macroeconomic Shocks
Macroeconomic uncertainty isn’t just noise—it reshapes bond risk premia and pricing.
United States
Strategies focused on US-listed assets.
Latest posts — page 4
Tail Risk Premium: A Better Predictor of Market Returns
This paper shows that the part of the variance risk premium tied to downside tail risk—jumps in asset prices—is what really predicts market returns. It's a cleaner measure of investor fear than the VIX.
Premium for Uncertainty: The FOMC Puzzle Explained
It’s not volatility, but the anticipation of risk that drives returns. This paper shows how timing macro events reveals the hidden premium of uncertainty.
Insider Signals in the Options Market Before Takeovers
Option volume can be an early signal for takeover events
Are Capital Market Anomalies Common to Equity and Corporate Bond Markets?
Equity market factors like size, profitability, and past returns can predict corporate bond returns,
Decoding Treasury Bond Returns
Want better bond return forecasts? This paper finds a new factor that improves risk premium estimates, making Treasury bond investing more precise.
Market Return Around the Clock
Most stock market gains happen during a four-hour window before European markets open. This paper finds that almost all returns come from this short time period, likely because investors are reacting to overnight news. A simple strategy that trades during this window beats buy-and-hold.
Reimagining Price Trends with AI
Sharpe ratio up to 7.2. A powerful AI-driven approach to price trends, demonstrating that machine learning can outperform traditional technical indicators.
Exploiting Return Seasonalities
Adding a seasonality factor to a portfolio of market, size, value, and momentum increases the Sharpe ratio from 1.04 to 1.67.
Anomalies across the globe: Once public, no longer existent?
The study highlights greater returns in markets with high trading frictions, such as non-US developed and emerging markets.
Investor Inattention and Market Anomalies: How Media Coverage Drives Mispricing
Taking advantage of limited attention in anomaly trading: The average Sharpe ratio documented in the paper is 1.09 (min: 0.62 ROE, max: 4.45 MOM). Top anomalies: MOM (4.45), ROA (2.40), PEAD (1.60), PERF (1.68)—all stronger in low media coverage stocks.
ChronoBERT: Eliminating Lookahead Bias in Financial Text-Based Strategies
Sharpe Ratio (H-L Portfolio): 4.80