Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the sustainability of various anomalies.
Quote of the Day
"Our markets are now more convenient, cost effective and mature than ever. That has to have some bearing on prices and performance."
(Ben Carlson)
Research links
- Fees eat the diversification benefit of lower correlation asset classes. (cfapubs.org)
- Investors consistently overestimate the probability of a stock market crash. (nber.org)
- Corporate insiders do pretty well when they trade within their industry. (papers.ssrn.com)
- "Sell in May and go away" works but no one really knows why. (blogs.cfainstitute.org)
- Are 3-year track records meaningful? (blog.thinknewfound.com)
- The siren song of factor timing. (papers.ssrn.com)
- Volatility is a value factor. (factorinvestor.com)
- Where is the cutting edge of financial data? (quandl.com)
- What is the proper benchmark for private equity? (etf.com)
- Re-thinking the nature of the risk-free rate. (linkedin.com)
