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2023 Reads

Seth Levine, CFA 
19/12/2023

I read a fair amount these days. I do it strictly for pleasure which frees me to take my time and explore a wide range of topics.

While not everything I read is about investing, I find many to have relatable themes. Below is a catalog of books and papers that I consumed over the past year. For a running list of my top recommendations visit the Favorite Reads page and see prior years’ lists here.

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Papers

Quantitative Investing

Volatility Spreads and Expected Stock Returns, by Turan G. Bali and Armen Hovakimian, 2007.

Multi-task Envisioning Transformer-based Autoencoder for Corporate Credit Rating Migration Early Prediction, by Han Yue, Steve Xia, and Hongfu Liu, 2022.

Economics

The Lag from Monetary Policy Actions to Inflation: Friedman Revisited, by Nicoletta Batini and Edward Nelson, 2001.

Have Monetary Policies Failed?, by Milton Friedman, 1972.

A Simple Framework to Monitor Inflation, by Adam Hale Shapiro, 2022.

Decomposing Supply and Demand Driven Inflation, by Adam Hale Shapiro, 2022.

Still Flying Blind After All These Years: The Federal Reserve’s Continuing Experiments with Unobservables, by Dimitri B. Papadimitriou and L. Randall Wray, 2021.

Lessons From the American Experience With Free Banking, by Hugh Rockoff, 1989.

Why Do We Think That Inflation Expectations Matter for Inflation? (And Should We?), by Jeremy B. Rudd, 2021.

Portfolio Management

Should Your Portfolio Protection Work Fast or Slow?, by AQR Portfolio Solutions Group, 2022.

Use CARMa to Price Your Stock: Equity Risk Premiums Reinvented with Exchange-Traded Funds, by Stephen Antczak, 2023.

The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck, by Steven Braun, Corey Hoffstein, Roni Israelov, and David Nze Ndong, 2023.

Cost of Capital: A Practical Guide to Measuring Opportunity Cost, by Michael J. Mauboussin and Dan Callahan, CFA, 2023.

Sharpening the Arithmetic of Active Management, by Lasse Heje Pedersen, 2018.

Fixed Income

DTS (Duration Times Spread), by Arik Ben Dor, Lev Dynkin, Jay Hyman, Patrick Houweling, Erik van Leeuwen, and Olaf Penninga, 2007.

On the Nature and Predictability of Corporate Bond Returns, by Daniel Haesen and Patrick Houweling, 2012.

What Do We Know About Corporate Bond Returns?, by Jing-Zhi Huang and Zhan Shi, 2021.

Equities

Birth, Death, and Wealth Creation: Why Investors Need to Understand Corporate Demographics, by Michael J. Mauboussin and Dan Callahan, CFA, 2023.

Other

Bloated Disclosures: Can ChatGPT Help Investors Process Information?, by Alex G. Kim, Maximilian Muhn, and Valeri V. Nikolaev, 2023.

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Seth Levine, CFA 

Investment Expert
Seth Levine is a professional, institutional investor focused on selecting high yield bond positions for a financial services company. He is also the creator of The Integrating Investor where he blogs...

Seth Levine is a professional, institutional investor focused on selecting high yield bond positions for a financial services company. He is also the creator of The Integrating Investor where he blogs about macroeconomic and investment strategy related themes. Seth holds a Bachelor of Science degree in Mechanical Engineering from Cornell University and is a CFA charterholder. You can learn more about Seth at www.integratinginvestor.com and follow him on Twitter at @SethLevine2. Please note that any opinions and views he expresses are solely his own and do not reflect those of his current or former employers.

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