# Things We Read This Week
Source: https://www.yieldcurve.pro/blog/things-we-read-this-week-001
Published: 2023-10-17
Tags: Industry Classification/Concentration & Expected Stock Returns, Interest Rate Sensitivity in Stock Returns, The State of VC in 2023, noindex
_A curated collection of informative reads._
# Articles We Read This Week
### Divergent Interest: Interest Rate Sensitivity in the Cross-Section of Stock Returns
This is an interesting DE Shaw write-up from June 2022. They show with a
simple multi-variate regression framework that all stocks do not exhibit
the same correlation structure with rates. The framework is appealing
for its simplicity as well as its ability to inform our view of asset
classes that could additive to traditional 60-40 and target date funds.
However, we have to wonder if someone made a mistake in the article as the
numbers in Table 1, specifically the column labeled "Average Annualized Excess
Return", appear incorrect. Anyone else think so?
At any rate, worth the read.
Read
### Industry Classification, Industry Concentration, and Expected Stock Returns
Nice PhD dissertation by Siyuan Li from the University of Hawaii. He
convincingly shows that the variation in results from the plethora of
sector momentum studies can be explained by the different sector
specifications used.
The dissertation goes on to show that when industry momentum if predictive
of returns it relies heavily on industry concentration. When the concentration
level is in the sweet spot it works and when industries are too sparse it
doesn't.
This was written in 2017 and has aged well.
Read
### The State of VC in 2023
Where we are, where we are going, and where to invest. This is a piece from
Sam Lessin
taking the form of a DocSend presentation. Our summary: the end of the ZIRP
put VC in a bad state and the strong performance over the last 3 years of the
top 5-10 stocks in the S&P is going to keep it that way.
Read