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 value of illiquidity.
Returns
- What coin flips tell us about the (limited) value of historical track records. (elmfunds.com)
- Returns matter but less than you think. (blog.alphaarchitect.com)
Research
- Does sentiment help explain momentum? (blog.alphaarchitect.com)
- Even the best strategies, investing or sports betting, go through periods of losses. (dualmomentum.net)
- A link to the 2017 Charles H. Dow winning paper "Forecasting a Volatility Tsunami." (athrasher.com)
- How ETFs are changing market pricing dynamics. (blog.alphaarchitect.com)
- Non-economic actors change the bond index investing equation. (bpsandpieces.com)
- CEOs sandbag earnings estimates before compensation plans are crafted. (papers.ssrn.com)
- Is alpha really dead? (ritholtz.com)
Risk
- How the $VIX can help identify volatility regimes for market timing. (econompicdata.blogspot.com)
- Protective puts don't protect all that much. (papers.ssrn.com)