Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the problem with dividend stocks.
- Good luck trying to time major market premia. (etf.com)
- Is benchmarking to blame for the existence of the low-vol and momentum anomalies? (lse.ac.uk)
- Beta still seems to be a good measure of risk, to the downside. (etf.com)
- A review of the research on the illiquidity factor. (etf.com)
- The returns to factors are lumpy at best. (blog.thinknewfound.com)