Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at backtests.
Quote of the Day
"Manager skill is stable; it is the measurement that wavers. Because manager-versus-index results are linked to relative-performance results, the time period selected will largely determine the outcome."
(John Rekenthaler)
Research links
- How will we know if a factor stops working? (blog.cordantwealth.com)
- Can dividend swaps replace bonds? (blog.thinknewfound.com)
- The structural factors that are degrading the value of the book/price ratio. (investingresearch.net)
- How concentrated ownership makes stocks more volatile. (ai-cio.com)
- Sharpe Ratios are easily abused. (capitalspectator.com)
- Investors love lotteries. (etf.com)
- Companies encourage analysts to make estimates the company can "beat." (wsj.com)
- Insights from the secondary market for private equity investments. (papers.ssrn.com)
- The Psychology and Neuroscience of Financial Decision Making. (cell.com)
