Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why simple edges go away.
Research links
- A comprehensive backtest of momentum. (philosophicaleconomics.com)
- Why random portfolios are a better equity benchmark. (predictivealpha.wordpress.com)
- Weird stuff happens in the stock market around year-end. (alphaarchitect.tumblr.com)
- Credit premia aren't worth the risk. (etf.com)
- There really is no premium to buying so-called 'sin stocks.' (blog.alphaarchitect.com)
- The best research of 2015. (pragcap.com)
