Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including at liquidity as a factor.
Quote of the Day
"Judging managers qualitatively is only necessary because available benchmarks fail to distinguish between luck and alpha."
(Matthew Borin)
Research
- In defense of your smart beta strategy. (etf.com)
- There's nothing easy about measuring alpha. (blog.thinknewfound.com)
- Why many investors can't harvest the risk premium. (researchaffiliates.com)
- What is momentum really measuring? (blog.alphaarchitect.com)
- How we read the news affects how the market incorporate new information. (hbr.org)
- Do PE firms exaggerate their interim valuations? (papers.ssrn.com)
- Hedge fund managers from disadvantaged backgrounds have a tendency to outperform. (bloomberg.com)
- A link to the NBER paper: (papers.ssrn.com)
