Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the best research paper of 2016.
Quote of the Day
"(I)t is hard to know which relationships that computers kick out can be trusted and which cannot. In a non-stationary world, it is easy to exaggerate the benefits investors can derive from “big data analysis.” It may simply uncover past relations that are no longer applicable."
(Brad Cornell)
Research links
- Risk cannot be destroyed, just transmorgified. (blog.thinknewfound.com)
- The data snooping problem is worse than you think. (papers.ssrn.com)
- Value, momentum and carry: don't forget carry in global asset allocation. (researchaffiliates.com)
- Don't try to time factor strategies. (beta.morningstar.com)
- Is deflation all that bad for stocks? (etf.com)
- How climate change puts certain sectors at risk. (papers.ssrn.com)
- If your fund manager buys a Ferrari watch out. (bloomberg.com)
