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Alternative Data News and Insight

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  • US stock market spillover effects on the Chinese A-share market

    We review a study that investigates the NYSE and NASDAQ composite indices' return and volatility spillover on Chinese A-share sector indices and broad market indices from 2010-2022. It shows the composition of an A-share index can influence its sensitivity to the spillover effect of a particular US index. And the spillover becomes more prominent during a weak market.
    Literature Review 2 May 2023
  • Using ChatGPT to aid portfolio management

    With ChatGPT’s rising popularity, a range of studies have considered how applicable it can be to different industries. In this report, we look at a 2023 paper assessing how effective the technology could be in aiding asset allocation and portfolio management.
    Literature Review 18 Apr 2023
  • Securing persistent returns through agricultural commodity options

    Investors are increasingly turning to commodity derivatives as a means to hedge risk and ensure high returns. For agricultural commodities, however, academics have not historically examined the persistent nature of the returns that can be generated. In this report, we summarise a study that examines the performance persistence of agricultural commodity trading strategies using market data from the CME.
    Literature Review 4 Apr 2023
  • Nowcasting Japan’s exports using maritime data

    Lacking natural resources, Japan is vulnerable to logistical disruptions and material shortages. In this literature review, we summarise an export index model constructed on maritime data.
    Literature Review 21 Mar 2023
  • Gaining an edge from corporate site visits in China

    In an increasingly virtual business environment, a physical presence can give investors an upper hand. A Chinese study attempts to show how corporate site visits by hedge funds can positively influence their returns. We summarise the analysis from this paper and the potential data sources that could help readers monitor site visits by Chinese fund managers.
    Literature Review 7 Mar 2023
  • Undisclosed SEC investigations: impacts and indicators

    Despite its prolific role in the US capital markets, the SEC’s investigation process is typically undeclared. Given investigations occur following an indication of malpractice, a study looks at whether they correlate with firm performance or insider trading activity. We summarise the analyses and highlight potential alternative data sources that could help readers navigate the impacts of SEC investigations.
    Literature Review 21 Feb 2023
  • Examining price bubbles in China’s agricultural commodities market

    We summarise the characteristics of price bubbles in China’s agricultural futures market and the impact of Chinese government policy on these bubbles.
    Literature Review 7 Feb 2023
  • Exploring commonality across global sovereign bond markets

    Commonality in liquidity is the concept that common movements in liquidity can impact other markets or securities. This has been used to explain sudden changes in the liquidity of multiple securities or markets at the same time. In this literature review, we summarise a study that applies regression models to understand commonality in liquidity between sovereign bond markets and its degree of application.
    Literature Review 24 Jan 2023
  • Can central bank sentiment predict changes in yields?

    The current economic climate has put a spotlight on central banks around the world. Monetary policy, however, is only directly observable in official meetings and statements. Aggregating central bank sentiment through the lens of news media may capture hidden information that has ramifications for financial markets. In this literature review, we summarise a study that employs textual analysis of central bank tones in the media to examine its impact on future changes in yields.
    Literature Review 10 Jan 2023
  • Disclosing ESG data on private equity holdings

    Published research suggests a strong correlation between global PE fund disclosures of ESG data and ESG performance post-investment. Net IRR is also found to be positively impacted by an advertised commitment to ESG. We summarise the findings of this research and also highlight several Neudata-listed data providers that may be applicable to understanding the ESG landscape within private equity.
    Literature Review 27 Dec 2022
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