Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the true size of the public infrastructure sector.
Factors
- How should you diversify across factors? (blog.thinknewfound.com)
- Some factor strategies have persistent industry tilts. (beta.morningstar.com)
- Factors are not commodities. (investingresearch.net)
- Timing return factors isn't worth the bother. (papers.ssrn.com)
- A review of recent papers on risk factors. (capitalspectator.com)
Research links
- The case for diversifying equities with managed futures. (blog.alphaarchitect.com)
- Does fundamental momentum work as well as price momentum? (blog.alphaarchitect.com)
- Momentum and mean reversion work on different time frames. (econompicdata.blogspot.com)
- Why do hedge funds love high volatility stocks? (etf.com)
- Who invests in corporate tax avoiders? (papers.ssrn.com)
- Is private equity good for consumers? (papers.ssrn.com)
- Are TIPs worth the trouble (of low returns)? (gersteinfisher.com)
