Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at understanding p-values.
Quant stuff
- Does academic research destroy alpha? (afajof.org)
- Cross-sectional vs. time-series seems to be an ideological issue for investors. (pionline.com)
- The Russell 2000 is a bad index. (etf.com)
- How big banks hire quants. (quantatrisk.com)
Research
- Even a "perfect portfolio" has big drawdowns. (blog.alphaarchitect.com)
- Different risk premia take different time horizons. (blog.thinknewfound.com)
- Three reasons why momentum works. (aqr.com)
- The characteristics of stocks that triple in one year. (investorfieldguide.com)
- How much of security mispricing is due to the limits of arbitrage? (etf.com)
- How to replicate private equity using small value stocks and leverage. (papers.ssrn.com)
- How to apply a value approach to global sovereign bond markets. (papers.ssrn.com)
- Does skewness explain the low-vol anomaly? (etf.com)
- Finding successful funds ex-ante is difficult. (papers.ssrn.com)
- Another example showing the endowment effect is real. (papers.ssrn.com)
