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

15 Oct
1/ If Money Doesn't Make You Happy Then You Probably Aren't Spending It Right (Dunn, Gilbert)

"Drawing on empirical research, we propose eight principles designed to help consumers get more happiness for their money."

scholar.harvard.edu/files/danielgi…
2/ "The income-happiness correlation is positive but modest; this should puzzle us.

"Money allows people to live healthier lives, buffer against worry and harm, have leisure time with friends and family, and control their daily activities—all of which are sources of happiness.
3/ "Money is an opportunity for happiness, but people routinely squander it the things they think will make them happy often don’t.

"A sizeable literature shows that affective forecasts are often wrong. People’s mental simulations of future events are almost always imperfect.
Read 28 tweets
14 Oct
1/ Enhanced Momentum Strategies (Hanauer, Windmüller)

"In U.S. and international individual stocks, constant volatility-scaled, constant semi-volatility-scaled, and dynamic-scaled momentum all decrease momentum crashes and have higher risk-adj. returns."

papers.ssrn.com/sol3/papers.cf…
2/ "We calculate portfolio breakpoints for each country separately to ensure that country effects do not drive our results.

"Since we measure returns in USD, we calculate excess returns based on the 1-month U.S. Treasury bill rate."

HMLd = AQR HML-Devil monthly-updated factor
3/ cMOM targets a constant momentum portfolio volatility (chosen so that the full-sample volatilities of momentum and cMOM are identical) using 126-day trailing volatility as the forecast.

sMOM uses downside volatility.

dMOM is like cMOM but includes a strategy return forecast.
Read 14 tweets
13 Oct
1/ Billion Dollar Loser: The Epic Rise and Spectacular Fall of Adam Neumann and WeWork (Reeves Wiedeman)

"Neumann resisted the obvious—that WeWork was a real estate leasing company. It was a tech start-up, a social network reshaping society." (p. 5)

amazon.com/Billion-Dollar… Image
2/ Here's an interview with the author, Reeves Wiedeman:


The Foundering podcast tells the WeWork story in a series of seven episodes:
3/ "He was still five months from the sudden events that would find him walking the streets of New York barefoot, trying to maintain control of his company in the middle of the most humiliating attempt at a public offering in American business history,
Read 39 tweets
13 Oct
1/ The Spider Network (David Enrich)

"Financial instruments across the globe hinge on tiny movements in Libor. If something was wrong, the pool of potential victims would be vast. As it turned out, something wasn’t wrong with Libor: everything was."

amazon.com/Spider-Network…
2/ "Boiled down to their essence, derivatives were designed to help people or institutions protect themselves from future circumstances. And no matter what, one party in the transaction always came out ahead—that was the bank that, for a fee, engineered the derivative." (p. 31)
3/ "As always, the advantage went to the trader who found an edge—whether that edge was a gullible client, a superior product, a more sophisticated computer model, whatever. Sometimes the edge was simply pushing the envelope just a little bit further than anyone else." (p. 35)
Read 63 tweets
10 Oct
1/ Correlation Risk Premium: International Evidence (Faria, Kosowski, Wang)

"Our results support the existence of a global correlation risk premium that is priced in international equity option markets."

papers.ssrn.com/sol3/papers.cf… Image
2/ "We construct a correlation risk proxy based on the difference between the option-implied correlation of stock returns (obtained by combining index option prices with prices of options on all index constituents) and the realized correlation for different equity markets." ImageImageImageImage
3/ "For the individual variance risk premiums and 30 day maturities, we find generally stronger evidence of economic and statistical significance than for the index variance risk premiums." ImageImage
Read 8 tweets
7 Oct
1/ Quant Cycle (Blitz)

"Traditional business cycle indicators do not capture much of the cyclical variation in factor returns. Major turning points seem to be caused by changes in sentiment instead. We infer a Quant Cycle directly from factor returns."

papers.ssrn.com/sol3/papers.cf…
2/ "Altogether, the 1/N mix of factors has virtually the same return during expansions and recessions.

"The simple 1/N mix is again remarkably stable with respect to inflationary and non-inflationary periods, with practically the same return in both regimes."
3/ "Factor returns appear to be solid regardless of the ISM business outlook.

"The investor sentiment index appears to be more effective. However, computing investor sentiment in real time is not easy, given the required inputs, and the resulting scores can be counterintuitive."
Read 8 tweets

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