Did Covid-19 Change how We Shop?

By |April 25th, 2022|Research Insights, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

We study e-commerce across 47 economies and 26 industries during the COVID-19 pandemic using aggregated and anonymized transaction-level data from Mastercard, scaled to represent total consumer spending. The share of online transactions in total consumption increased more in economies with higher pre-pandemic e-commerce shares, exacerbating the digital divide across economies. Overall, the latest data suggest that these spikes in online spending shares are dissipating at the aggregate level, though there is variation across industries. In particular, the share of online spending in professional services and recreation has fallen below its pre-pandemic trend, but we observe a longer-lasting shift to digital in retail and restaurants.

Gaining an Edge via Textual Analysis of FOMC Meetings

By |April 4th, 2022|Research Insights, Basilico and Johnsen, Academic Research Insight, Machine Learning, Macroeconomics Research|

How investors understand and use central bank communications, aka FEDSPEAK, is oftentimes cryptic and difficult to analyze.  This study attempts to provide some clarity to this issue by applying textual analysis to both high-frequency price and communication data, to focus on episodes whereby stock price movements are identifiable and on investors’ reactions to specific sentences communicated by the Fed.

The Fed Put is Alive and Well

By |February 7th, 2022|Research Insights, Basilico and Johnsen, Academic Research Insight, Machine Learning, Macroeconomics Research|

The question of whether or not the FED considers or responds to the stock market in its policy decisions has been studied fairly extensively, the subject of the existence of the "FED put" continues to pop up in the literature.   In this particular revival of the issue, the authors are among the first to study FOMC minutes, transcripts, and other sources of information using textual analysis in order to provide an answer to the question: Does the FED respond to stock market events and if it does, what is the nature of the response?

How Do You Think the Global Market Portfolio Has Performed from 1960-2017?

By |November 2nd, 2020|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing, Macroeconomics Research|

Historical Returns of the Market Portfolio Ronald Doeswijk, Trevin Lam and Laurens SwinkelsThe Review of Asset Pricing Studies, 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

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