Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the ultimate return factor.
Research links
- Academic finance publishes results, not non-results. That's a problem. (blog.alphaarchitect.com)
- Prospect theory and the case for multi-factor strategies. (blog.thinknewfound.com)
- The case against market cap weighting of indices. (evidenceinvestor.co.uk)
- The downside of momentum: crashes. (etf.com)
- It's okay to miss the best and worst months in the stockmarket. (investresolve.com)
- How do stocks that can't be shorted do? (quantpedia.com)
- Research on the optimal TDF strategies. (gmo.com)
- The low-vol effect: using arithmetic instead of econometrics. (abnormalreturns.com)
- A smart beta reading list. (blogs.cfainstitute.org)
