This the second edition of a research-focused linkfest. Last week we kicked things off with a low-vol packed post. Stayed tuned for more later this week.
Quote of the Day
Great financial economists do not merely observe and then model financial markets; in some cases, they may in fact influence the way markets function and behave, and in a sense, their theories become self-fulfilling.
(Ashby Monk)
Value
- The value premium explained: a vote for the macro risk story. (etf.com)
- Value investors have historically taken on a LOT of tracking error. (alphaarchitect.com)
- What is intrinsic value and who decides it. (philosophicaleconomics.com)
Small caps
- A skeptical look at the size premium. (researchaffiliates.com)
- Five reasons why the small cap premium is a myth. (ft.com)
Research
- On building a better six-factor model. (aqr.com)
- Things Ken French learned from Gene Fama. (dimensional.com)
- The strategic case for frontier markets. (news.morningstar.com)
- Do Americans understand their retirement savings options? The case of Roth 401(k)s. (papers.ssrn.com)
