Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the monetary drivers of equity and bond returns.
Quote of the Day
"Successful investors understand that models will fail at times; however, being able to stick with the model through thick and thin is a good strategy for long-term wealth creation."
(Jack Vogel)
Research links
- Sizing up the size premium. (gersteinfisher.com)
- On the relationship between volatility and illiquidity. (papers.ssrn.com)
- Building a better four-factor model. (papers.ssrn.com)
- Is days-to-cover a better measure than the short-interest ratio? (blog.alphaarchitect.com)
- Is there a difference between momentum and moving average systems? (blog.thinknewfound.com)
- Can we find value and momentum effects in sports betting markets? (papers.ssrn.com)
- Can investors hedge against momentum crashes? (quantsportal.com)
- Why you need to have concentrated portfolios to beat the market. (blog.alphaarchitect.com)
