Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the value anomaly and active share.
Research links
- Facts and fictions about value investing. (etf.com)
- More facts and fictions about value investing. (etf.com)
- Why combining value and momentum strategies make sense. (investorfieldguide.com)
- Why you should be skeptical about the small size effect. (wisdomtree.com)
- Can you improve the Piotroski F-score? (blog.alphaarchitect.com)
- How insider trading patterns reflect company prospects. (blog.alphaarchitect.com)
- On the use of leveraged ETFs in practice. (jonathankinlay.com)
Timing
- When technical analysis works best. (bloomberg.com)
- The evidence mounts against the market timing skill of professional managers. (rickferri.com)
- Seasonal patterns and momentum profits. (papers.ssrn.com)
Real momentum
- Tweaking momentum using real returns. (cssanalytics.wordpress.com)
- A longer term backtest of real momentum. (cssanalytics.wordpress.com)