Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a risk parity primer.
Quote of the Day
"It is not obvious how to allocate across global factors in a coherent manner."
(GestaltU)
Research links
- Momentum strategies work in global markets. (blog.alphaarchitect.com)
- Industry momentum plays a role in the momentum puzzle. (papers.ssrn.com)
- Does the 'momentum gap' help explain future momentum returns? (papers.ssrn.com)
- Is trend following market timing? (blog.thinknewfound.com)
- The ins and outs of illiquid investments. (robeco.com)
- The buyback boom is actually a mirage. (researchaffiliates.com)
- Do value and momentum exist in sports betting markets? (blog.alphaarchitect.com)
