Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at tests of momentum.
Research links
- The January Effect is interesting but likely not implementable. (blog.alphaarchitect.com)
- Is there a way to use managed futures to create better portfolio skew? (blog.alphaarchitect.com)
- Do factor returns depend on the time-horizon studied? (papers.ssrn.com)
- Hedge funds that take on more leverage, i.e. funding risk, have a tendency to underperform. (etf.com)
- Do quarterly risk factor reports affect future stock returns? (clsbluesky.law.columbia.edu)
- US-based analysts tend to improve information efficiency in cross-listed stocks. (papers.ssrn.com)
- The FlyontheWall.com case put a big dent in the sell-side industry. (papers.ssrn.com)
- High productivity firms are more likely to adopt AC. (papers.ssrn.com)