Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look momentum and skewness.
Research
- Does a low R^2 actually predict future performance? (etf.com)
- Days to cover is a better measure than short interest. (papers.ssrn.com)
- On the risks of owning a single stock. (blog.alphaarchitect.com)
- Alpha is widely misunderstood. (allaboutalpha.com)
Factors
- The argument for factors vs. assets. (papers.ssrn.com)
- What drives the premium for the equal-weighted S&P 500 returns? (blog.alphaarchitect.com)
- The price/book factor is fading in popularity. (investorfieldguide.com)
- Explaining the middling performance of smart beta funds. (blog.wealthfront.com)
