Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at day-of-the-week effects.
Research links
- Active managers are skilled. (papers.ssrn.com)
- Market timing with valuation and momentum models. (blog.alphaarchitect.com)
- How to build more effective factor portfolios. (papers.ssrn.com)
- Why you should consider multiple time frames for your ETF rotational strategy. (alvarezquanttrading.com)
- Moving average models are dumb. (priceactionlab.com)
- Can you use real earnings yields to time the market? (blog.alphaarchitect.com)
- Monetary drivers of bond and equity risks. (papers.ssrn.com)
- Should we use absolute or relative valuation measures? (researchaffiliates.com)
- Does increased ETF ownership make the market for the underlying securities less efficient? (papers.ssrn.com)
- Why are night-time returns higher? (papers.ssrn.com)
