Research

Prospect Theory and Stock Market Anomalies Research

Prospect Theory and Stock Market Anomalies

https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/jofi.13061 NICHOLAS BARBERIS, LAWRENCE J. JIN, and BAOLIAN WANG∗ ABSTRACTWe present a new model of asset prices in which investors evaluate risk according to prospect theory and examine its ability to explain 23 prominent stock market anomalies. The model incorporates all of the elements of prospect theory, ac- counts for investors’ prior gains and losses, and makes quantitative predictions about an asset’s average return based on empirical estimates of the asset’s return volatility, return skewness, and past capital gain. We find that the model can help explain a majority of the 23 anomalies. LOGR-APP.COM
Bloomberg expands equity indices with emerging markets and thematic benchmarks Analytics

Bloomberg expands equity indices with emerging markets and thematic benchmarks

https://www.institutionalassetmanager.co.uk/2021/06/09/301560/bloomberg-expands-equity-indices-emerging-markets-and-thematic-benchmarks 09/06/2021 - 8:52AMBloomberg has expanded its global equity index range with the launch of new emerging market country and thematic benchmarks. With this launch, Bloomberg fills a need for advanced index capabilities, based on its trusted data, global distribution, and fully-integrated investment workflow solutions. Since the publication of domestic US benchmarks in September 2019, Bloomberg has increased its equity index coverage across developed and emerging markets. The new Bloomberg emerging market benchmark family is weighted by free-flat market cap, includes 26 countries, and represents over USD14 trillion in market value. LOGR-APP.bCOM
Struggling Asset Manager’s Increasingly Resort to Alternative Data BuySide

Struggling Asset Manager’s Increasingly Resort to Alternative Data

https://www.ravenpack.com/blog/asset-manager-alternative-data/?utm_campaign=amaltdat&utm_medium=Earned&utm_source=Tabb&utm_content=&utm_term= RavenPack- "Other findings from the survey showed alternative data use had increased from the previous year, and that 64% of asset managers were using multiple sources, with 20% using more than 10 data sources. ... In terms of application, the most common approach - with 42% saying they adopted it - was to incorporate the data into ‘supervised algorithms’ where the final decision was discretionary. ... 22% of respondents used the data in a “semi-supervised” fashion, whilst “reinforcement and deep learning are each utilized by 19% of surveyed managers”, said the survey."
MSCI urges investors to consider ESG in decisions BuySide

MSCI urges investors to consider ESG in decisions

https://seekingalpha.com/news/3533108-msci-urges-investors-to-consider-esg-in-decisions?utm_medium=referral&utm_source=feed_news_all Liz Kiesche, SA News Editor - "Portfolio managers should integrate ESG in portfolio management, including security selection, portfolio construction, risk management, performance attribution, and client reporting." MSCI Website MSCI Principle's Of Sustainable Investing
Trend Analytics – The New Pre-Trade Data

Trend Analytics – The New Pre-Trade

https://tabbforum.com/opinions/trend-analytics-the-new-pre-trade/ Michael Mollemans TABB Group - " “Traditional approaches are not fit for purpose in today's markets,” said Dr. Darko Matovski, CEO of causaLens. “Using technology that autonomously adapts to dynamic changes and embeds causality is the only way to discover alpha in execution.” " Also see: The IEX D-Limit Proposal: It’s Good…But What If It’s TOO Good?
SEC Proposes Amendments to Governance of Market Data Plans Data

SEC Proposes Amendments to Governance of Market Data Plans

https://tabbforum.com/opinions/sec-proposes-amendments-to-governance-of-market-data-plans/ Steven Lofchie, Cadwalader - "Under the proposed Order, market participants would be required to submit a "single, new equity data plan" (aka: the "New Consolidated Data Plan") in which all of the exchanges would participate. A governance committee for the new plan would be formed. One-third of the votes would be held by entities other than the exchanges." ... "Having one market system plan rather than three is not going to change the reality that the exchanges and the broker-dealers have interests that are fundamentally averse to one another: Each wants to "own" as much data (intellectual property) as possible, give away as little data as possible, and either charge as much as possible or pay as little as possible."
MSCI: ESG Related Business Data

MSCI: ESG Related Business

https://seekingalpha.com/article/4314747-msci-esg-related-business-can-take-stock-price-to-new-all-time-highs?source=feed_all_articles [Editors Note: Read between the lines of investment advice for the trend] Bridger Research - "MSCI is the sole leader with the most technically advanced products in the ESG related portfolio construction and analytics market"
Grafiti, A Search Engine For Charts, Raises Nearly $1.6M In Pre-Seed Funding Data

Grafiti, A Search Engine For Charts, Raises Nearly $1.6M In Pre-Seed Funding

https://news.crunchbase.com/news/grafiti-a-search-engine-for-charts-raises-nearly-1-6m-in-pre-seed-funding/ Jason D. Rowley Crunchbase - "Headquartered around the corner from a diabolically delicious pizza shop in Brooklyn, New York, Grafiti is a startup aiming to solve just that. Its stated goal, to build the leading search engine for charts and data visualizations, belies a broader mission: to help people surface insights from a mass of mostly-structured, increasingly visual information sources." Grafiti https://beta.grafiti.io/ Google Dataset Search https://toolbox.google.com/datasetsearch