This week are starting a new series of focused linkfests. For a while now we have been publishing a podcast-focused linkfest on Fridays. Today we are looking at academic (and practitioner) research on a wide variety of market topics including low vol investing. Stay tuned each day this week for more focused linkfests.
Research
- Financial theory works: you just have to give it (a lot of) time. (aqr.com)
- How to measure tactical alpha. (gestaltu.com)
- Does advertising affect investors as well as consumers? (alphaarchitect.com)
- Is illiquidity priced in the stock market? (sl-advisors.com)
- Why do momentum returns accrue when the market is closed? (www2.bc.edu)
- Are "jump betas" the answer to pricing stocks? (papers.ssrn.com)
- Why do share repurchase announcements, not transactions, boost a company's stock? (papers.ssrn.com)
