Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why factors are so over-mined.
Quote of the Day
"(A)nomalies may be disappearing not just because they were false positives to begin with, but because traders are finding them and making them disappear."
(Noah Smith)
Factor models
- The merits and methods of multi-factor models. (us.spindices.com)
- Do trading costs destroy factor investing? (blog.alphaarchitect.com)
- How to combine single factor strategies. (indexologyblog.com)
Books
- Andrew Lo's "Adaptive Markets: Financial Evolution at the Speed of Thought" is an important read. (amazon.com)
- "The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction" by Richard Bookstaber looks at the risks of today's markets. (amazon.com)
Reseach
- You can use return factors to enhance muni bond returns. (blog.thinknewfound.com)
- Are mutual fund managers good at picking lottery stocks? (quantpedia.com)
- Do established anomalies work in China? (blog.alphaarchitect.com)
- Companies manage news/earnings to minimize dilution from forthcoming warrant expirations. (papers.ssrn.com)
- Good luck sorting luck from skill. (etf.com)