Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the persistence of factor returns.
Chart of the Day
How macroeconomic volatility affects overall market valuations.
Historical data
- Why the US stock market is an exception to the rule. (blog.alphaarchitect.com)
- What do four centuries of return data tell us about stock predictability? (papers.ssrn.com)
- The profitability premium exists in earlier data (i.e. 1940-63). (papers.ssrn.com)
Research
- How asset mispricings happen. (papers.ssrn.com)
- If disaster risk explains asset pricing, what happens when you apply it globally? (papers.ssrn.com)
- What are factors anyway? (blog.thinknewfound.com)
- Why it may be time to re-think your rebalancing algorithm. (blog.alphaarchitect.com)
- Covered interest rate parity is frequently violated. (johnhcochrane.blogspot.com)
- Hedge fund investors chase funds with names that evoke 'gravitas' to their detriment. (papers.ssrn.com)
- Gender differences in financial risk tolerance. (sciencedirect.com)
- Buyout funds are not all that. (etf.com)
