Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how “unusual news” affects market volatility.
- We load up on puts when we don't need them. (blog.alphaarchitect.com)
- Missing the worst days in the market usually comes along with missing the best days as well. (blog.thinknewfound.com)
- Can Twitter-based sentiment help predict earnings? (papers.ssrn.com)
- Consistent momentum winners outperform. (papers.ssrn.com)
- What are the fundamental assumptions behind smart beta strategies? (jamestwiss.com)
- What is behind S&P 500 put option skew? (papers.ssrn.com)
- Five ways to plot returns. (blog.johnorford.com)