Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether liquidity risk is “priced.”
Quote of the Day
"Value investing can work, but one needs to expect an occasional pain train of epic proportions. It’s just inevitable. And pain is a great thing."
(Wes Gray)
Research links
- How value and momentum strategies expanding the efficient frontier. (blog.alphaarchitect.com)
- "The paradox of skill" and why active managers continue to underperform. (etf.com)
- Why credit risk doesn't pay. (etf.com)
- On the relationship between skew risk and the low risk anomaly. (papers.ssrn.com)
- The low volatility anomaly is a global phenomenon. (etf.com)
- On the use of the enterprise multiple on a global basis. (greenbackd.com)
- Media coverage is good for stock returns. (papers.ssrn.com)
- Avoid broker-sold mutual funds. (wsj.com)
- The pace of business dynamism and entrepreneurship in the U.S. has declined over recent decades. (papers.ssrn.com)
