Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a couple of looks at active share.
Quote of the Day
"Factors do not necessarily need to have a risk-based explanation for us to believe they can persist (as is the case with momentum). But the lack of a risk-based explanation can raise concerns about a factor’s ability to persist post-publication."
(Larry Swedroe)
The quant biz
- Where are the academic finance billionaires? (financial-math.org)
- The I/B/E/S database is not free of biases including backfilling. (papers.ssrn.com)
- SSRN has changed hands. Be on alert. (baselinescenario.com)
Research
- Trend following as a tail risk strategy. (sr-sv.com)
- Ten misconceptions about smart beta. (docs.scientificbeta.com)
- What drive momentum performance? (econompicdata.blogspot.com)
- Introducing the Trinity Portfolio. (papers.ssrn.com)
- A review of returns factors. (blog.cordantwealth.com)
- Investors are prone to reacting to stale fund performance figures. (blog.alphaarchitect.com)
- Have we overhyped the "behavior gap"? (advisorperspectives.com)
- How securities lending revenue affects fund returns. (advisors.vanguard.com)
