Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how markets deal with earnings misses.
Research links
- Why does the stock market do so well in the run up to FOMC announcements? (onlinelibrary.wiley.com)
- A new and improved CAPE ratio that adjusts for changing dividend payout ratios. (philosophicaleconomics.com)
- On the role of securities lending in passive investing. (papers.ssrn.com)
- How the existence of short-sellers does not induce managerial short-termism. (papers.ssrn.com)
- What do accruals tell us about future cash flows? (papers.ssrn.com)
- What are appraisal rights and why are hedge funds hot for the strategy? (alphaarchitect.com)
- How rebalancing frequency affects value and quality strategies. (alphaarchitect.com)
- State pension funds are biased towards in-state equities. (papers.ssrn.com)
- An examination of stock market sentiment data. (behavioralquant.com)