Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including at the irrelevance of dividends.
Chart of the Day
Active share has been on the wane.
- Is the stock market actually undervalued? (blog.thinknewfound.com)
- Liquidity as a market factor. (readingthemarkets.blogspot.com)
- A closer look at the diversification ability of managed futures. (blog.alphaarchitect.com)
- Is there a price to ESG investing? (etf.com)
- Do tweet sentiments still predict the stock market? (papers.ssrn.com)
- "The Evolution and Success of Index Strategies in ETFS" by Joanne Hill (cfapubs.org)
- How analysts get promoted at credit agencies. (papers.ssrn.com)
- Evidence that markets don't do a very good job of incorporating publicly available financial data. (bloomberg.com)