Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why glamour stocks are overvalued.
Quote of the Day
"For investors evaluating new strategies, a qualitative understanding of how a strategy should work will likely trump most quantitative metrics of how it has performed for forming long-term expectations."
(Corey Hoffstein)
Research links
- This is a great review of the research on the sustainability of anomalies (blog.alphaarchitect.com)
- Avoid high vol, don't necessarily invest in low vol. (factorinvestor.com)
- Don't downplay the role of randomness in portfolio construction (and outcomes). (capitalspectator.com)
- How to build a 'minimum loss' portfolio. (mebfaber.com)
- Only those high B/M firms that have decreased in size earn the value premium. (papers.ssrn.com)
- Liquid, low-cost ETFs are likely eroding the comparative advantage of asset managers. (papers.ssrn.com)
- How management risk affects corporate bond prices. (papers.ssrn.com)
- More evidence that CEOs are opportunistic when it comes to earnings. (papers.ssrn.com)
- A review of the NBER Asset Pricing seminar. (johnhcochrane.blogspot.com)