Monday is all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at ten commandments of financial modeling.
Quote of the Day
"(M)omentum strategies have now been well-known for more than 20 years. Did it really take well over a decade for practitioners to exploit the anomaly to the extent that it would no longer work?"(Larry Swedroe)
Chart of the Day
Whats’ the deal with midcap outperformance?
- Value investing can undergo extended periods of underperformance. (blog.alphaarchitect.com)
- Is there really a value effect? (dualmomentum.net)
- Survivorship bias illustrated. (blog.independenceadvisors.com)
- Where Has the Trend Gone? An Update on Momentum Returns in the U.S. Stock Market (etf.com)
- The case for momentum strategies as a tail-risk strategy. (etf.com)
- Why active share is an important measure for fund investors. (blog.alphaarchitect.com)
- Small allocations to alternatives are bound to fail. (longboardfunds.com)
- Algorithmic traders have a tendency to overfit the data. (iijournals.com)
- Myopic loss aversion as an explanation of the equity risk premium puzzle. (fieldexperiments-papers.s3.amazonaws.com)
- Is there evidence of 'gut feelings' for traders? (nytimes.com)