Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at all-star stock pickers.
Quote of the Day
"Used shrewdly - to diversify, not simply to take on more risk - leverage is your pal, not the bugaboo that conventional wisdom paints it to be, we believe."
(Cliff Asness)
Research links
- Explaining the low vol anomaly. (etf.com)
- The momentum effect is largely an overnight phenomenon. (alphaarchitect.com)
- Why activist investors seem to move in "wolf packs." (papers.ssrn.com)
- Competition from index funds makes active managers better (and cheaper). (papers.ssrn.com)
- Home bias and the role of survivorship bias. (alphaarchitect.com)
- Comparing the performance of a Dual Momentum and Robust Asset Allocation strategy. (alphaarchitect.com)
- Why trading volatility is so difficult. (statisticalideas.blogspot.com)
- Are there efficiency gains to made in peer-to-peer lending? (papers.ssrn.com)
