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Research links: factor allocations

October 5, 2015

Research links: factor allocations

October 5, 2015

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)
    TweetPocketInstapaper
  • Industry momentum plays a role in the momentum puzzle. (papers.ssrn.com)
    TweetPocketInstapaper
  • Does the 'momentum gap' help explain future momentum returns? (papers.ssrn.com)
    TweetPocketInstapaper
  • Is trend following market timing? (blog.thinknewfound.com)
    TweetPocketInstapaper
  • The ins and outs of illiquid investments. (robeco.com)
    TweetPocketInstapaper
  • The buyback boom is actually a mirage. (researchaffiliates.com)
    TweetPocketInstapaper
  • Do value and momentum exist in sports betting markets? (blog.alphaarchitect.com)
    TweetPocketInstapaper

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More Posts This Week

Sunday links: prospective down-rounds
Monday links: things that matter

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Abnormal Returns, since its launch in 2005, has brought the best of the finance and investment blogosphere to its readers. I am also the Director of Investor Education at Ritholtz Wealth Management LLC. More here.  For disclosure information please see here.

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