Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including at the collapsing efficient frontier.
Quote of the Day
"Liquidity is a priced risk around the globe."
(Larry Swedroe)
Research
- How to build a better momentum system. (blog.alphaarchitect.com)
- Downside risk variance seems to be priced. (etf.com)
- Does seasonality matter for momentum strategies? (blog.alphaarchitect.com)
- How hedge fund activism jump starts merger activity. (papers.ssrn.com)
- Why investors still lose in funds that outperform. (blogs.wsj.com)
- When do analysts impede innovation? (papers.ssrn.com)
- Short-sellers trade more on high volume days. (papers.ssrn.com)
- There is a relationship between aging societies and lower real interest rates. (etf.com)
- Companies with substantial female leadership have outperformed. (ft.com)
