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Macro Wrap-Up
Bridging the Earnings GAAP
October 18, 2019
This week we return from the North to look at the gap between GAAP and NIPA earnings, in particular why earnings growth on national accounts has been so slow. We try methodically to nip the controversy in the bud, but the answer may be more elusive than you might expect. We find that, while the significance of the divergence may have been exaggerated, it is still sobering for investors.
Working Paper
Lot Layering: The New Frontier for Hedge Fund Partnership Allocations
October 11, 2019
Despite its unavoidable deficiency caused by current regulations, we believe that lot layering aligns tax and economics more closely than any of the “aggregation” methods presently used by most hedge funds do.
Macro Wrap-Up
Oh, Canada
October 11, 2019
What if a housing bubble burst and no crisis showed up? Canada may be in the process of finding that out.
Working Paper
Responsible Investing: The ESG-Efficient Frontier
October 10, 2019
Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.
Macro Wrap-Up
Taking Exception to Manufacturing
October 4, 2019
Everyone loves a good PMI. It’s the bad ones that can make stocks go down. This week we look at why a recent disappointing manufacturing number may have shattered investor belief in American exceptionalism (in the economy).
Macro Wrap-Up
Notes from the Underground Trading Desk
September 27, 2019
In this week’s Wrap-Up, we cover the turmoil in the repo markets. We explain what repos are, why they are dislocated, and what this means for other markets. While it may not be time to worry yet, we consider developments in money markets that might tell us it’s time to be more cautious.
Macro Wrap-Up
An Emojinal Oil Q&A
September 20, 2019
This week we answer all of your questions on the oil fire in Saudi Arabia.
Working Paper
Economics with Market Liquidity Risk
September 19, 2019
We discuss the effects of market liquidity risk on asset pricing, investment management, corporate finance, banking, financial crises, macroeconomics, monetary policy, fiscal policy, and other economic areas.
Macro Wrap-Up
All That Glitters
September 13, 2019
Silver once ruled the world of markets. Now it can rally by 25%, and no one seems to care. Well, we care! Silver remains one of the most compelling and elusive commodities for investors. This week we look at why it has rallied and what that tells us about investor sentiment in other markets.
Alternative Thinking
Inversion Anxiety: Yield Curves, Economic Growth, and Asset Prices
September 12, 2019
We evaluate the ability of the yield curve slope to forecast future economic conditions, as well as returns on stocks and bonds, using over 50 years of data across six countries.