Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look two reasons why momentum works.
Research
- The case for risk parity strategies as a diversifier. (aqr.com)
- Does dual momentum work for non-US investors? (dualmomentum.net)
- Are stop-loss rules worthwhile for momentum investors? (dualmomentum.net)
- Deep value investing is having a hard time of late. (blog.alphaarchitect.com)
- Yet more evidence against active management. (etf.com)
- Just how robust is the profitability factor? (blog.alphaarchitect.com)
- On the use of the profitability factor in practice. (etf.com)
- Be careful what you call data mining. (aqr.com)
Papers
- Ten years in how did the boom in commodity futures investing pay off? (papers.ssrn.com)
- Why do family-controlled companies seem to outperform? (wisburg.com)
- 215 Years of Global Multi-Asset Momentum: 1800-2014 (papers.ssrn.com)
- What makes a high dividend yield stock a keeper? (researchaffiliates.com)
- How do private equity investments perform relative to public equity? (papers.ssrn.com)
- IPO underpricing is a global phenomenon. (papers.ssrn.com)