Darren 🥚🐣🕊️ Profile picture
Oct 16, 2021 10 tweets 4 min read Read on X
1/ Near-real-time monitoring of global CO2 emissions reveals the effects of the COVID-19 pandemic (Liu et al.)

"Global CO₂ emissions decreased by 8.8% in the first half of 2020 vs. the same period in 2019. The timing corresponds to lockdown measures."

nature.com/articles/s4146…
2/ "In winter (Jan–Mar) of 2020, COVID-19 explains 85% of the power sector reduction, the rest being attributed to exceptionally warm weather across much of the northern hemisphere.

"The total difference is the largest ever decline in emissions over the first half year."
3/ "The rebound is normal, especially in energy-intensive industries, in which industrial activities and infrastructure construction was suspended during lockdown. This could result in the shortage of industrial products and rebound of production after the lockdown is released."
4/ "The largest contributions to the global decrease in emissions in 2020 come from ground transportation and the power sector, with somewhat smaller decreases from the industry sector and the aviation sector. Further details of these sectoral changes are discussed below."
5/ "Some of the drop in China’s power sector emissions was due to warmer winter temperatures in 2020. The negligible differences in emissions during late January and early February of 2020 and 2019 are explained by the different dates of China’s Spring Festival."
6/ "Global heating demand in the first seven months of 2020 was down by -2.1% vs. 2019, owing to the abnormally warm northern-hemisphere winter condition. This estimate rests on the assumption that residential and commercial fuel consumption was driven mostly by temperature."
7/ "Our estimates of decreases in fossil and industry CO2 emissions are consistent with observed changes in NO₂ emissions, which are also mainly produced by fossil fuel combustion."
8/ "The absolute decreases in CO2 emissions are larger than any in history, including during the 2008–09 global crisis. An 8.8% relative reduction of emissions seems small when compared to the magnitude and extent of the disturbance of human activities that the COVID produced."
9/ "Long-term emissions decreases needed to achieve low targets must therefore be based on structural and transformational changes in energy production, de-carbonization of transportation, and improved building energy use efficiency rather than decreases of human activities."
10/ Related reading:

Unsettled


Polarizing impact of science literacy and numeracy on perceived climate change risks

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More from @ReformedTrader

Apr 25
1/ Moneyball: The Art of Winning an Unfair Game (Michael Lewis)

"Baseball was at the center of a story about the possibilities—and limits—of reason. It showed how an unscientific culture responds (or fails to respond) to the scientific method." (p. xiv)

amazon.com/Moneyball-Art-…Image
2/ "A small group of undervalued professional players & executives, many of whom had been rejected as unfit for the big leagues, turned themselves into one of the most successful franchises.

"How did one of the poorest teams, the Oakland Athletics, win so many games?" (p. xi)
3/ "Hitting statistics were abundant & had, for James, the powers of language. They were, in his Teutonic coinage, 'imagenumbers.' Literary material. When you read them, they called to mind pictures. He wrote... 'To get 191 hits in a season demands (or seems to) a consistency...
Read 6 tweets
Feb 4
New papers: February 2025
(I haven't read these, but the abstracts look interesting.)

Does Trend-Following Still Work on Stocks?
papers.ssrn.com/sol3/papers.cf…

Application of the Kelly Criterion to Prediction Markets
semanticscholar.org/paper/Applicat…

Jan 2025 edition:
x.com/ReformedTrader…
December Effect in Option Returns
papers.ssrn.com/sol3/papers.cf…

Unintended Consequences of Rebalancing
papers.ssrn.com/sol3/papers.cf…

Speculate against Speculative Demand
semanticscholar.org/paper/Speculat…

Seasonality Patterns in the Crisis Hedge Portfolios (Quantpedia)
quantpedia.com/seasonality-pa…
Bank Fragility After Mergers
papers.ssrn.com/sol3/papers.cf…

Mutual Fund Investors and the Economic Cost of Seeking Alpha
papers.ssrn.com/sol3/papers.cf…

Stock split signaling: Evidence from short interest
papers.ssrn.com/sol3/papers.cf…
Read 15 tweets
May 18, 2024
1/ Skewness and kurtosis

* Everything has excess kurtosis
* Unlike market returns, individual stocks aren't negatively skewed
* Option prices underestimate kurtosis and overestimate negative skewness
* Implied moments don't consistently predict stock returns
* Sell options?? Image
2/ Asset classes have fat tails, and most have negative skewness.

Kurtosis & expected returns


Kurtosis-Based vs Volatility-Based Asset Allocation


Impact of Skewness and Fat Tails on Asset Allocation

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3/ This has practical consequences, and it's a good idea to be prepared.

Give me a moment: Optimal leverage in the presence of volatility, skewness, and kurtosis


When Genius Failed: The Rise & Fall of Long-Term Capital Management


Image
Read 5 tweets
Jan 1, 2024
1/ Fact, Fiction, and Factor Investing (Aghassi, Asness, Fattouche, Moskowitz)

"We reference an extensive academic literature and perform simple but powerful analyses to address claims about factor investing."

aqr.com/Insights/Resea…
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2/ #1. Fiction: Factors are Data-Mined with No Good Economic Story

"Value, momentum, carry, and defensive/quality pass the more stringent statistical tests.

"Many of the factor tests conducted in papers are on variations of a few central themes."




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3/ "Value, momentum & defensive/quality applied to US individual stocks has a t-stat of 10.8. Data mining would take nearly a trillion random trials to find this.

"Applying those factors (+carry) across markets and asset classes gets a t-stat of >14."





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Read 14 tweets
Dec 31, 2023
1/ Happily Ever After? Cohabitation, Marriage, Divorce, and Happiness in Germany (Zimmermann, Easterlin)

"The formation of unions (separation or divorce) has a positive (negative) effect on life satisfaction. We also see a 'honeymoon period' effect."

researchgate.net/publication/49…
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2/ "The model's four terms describe different life stages for an individual who marries during the sample period. The intercept reflects the average life satisfaction of individuals in the baseline period [all noncohabiting years that are at least one year before marriage]."


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3/ " 'How satisfied are you with your life, all things considered?' Responses are ranked on a scale from 0 (completely dissatisfied) to 10 (completely satisfied).

"We center life satisfaction scores around the annual mean of each population subsample in the original population."
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Read 29 tweets
Aug 13, 2023
1/ Short-sightedness, rates moves and a potential boost for value (Hanauer, Baltussen, Blitz, Schneider)

* Value spread remains wide
* Relationship between value and rates is not structural
* Extrapolative growth forecasts drive the value premium

robeco.com/en-int/insight…
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2/ "The valuation gap between cheap and expensive stocks remains extremely wide. This signals the potential for attractive returns going forward."


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3/ "We observe a robust negative relationship between value returns and changes in the value spread.

"The intercept of ≈10% can be interpreted as a cleaner estimate of the value premium, given that it is purged of the time-varying effects of multiple expansions & compressions." Image
Read 7 tweets

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