Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at VIX futures manipulation.
Testing
- On the importance of having a hypothesis when testing data. (cuemacro.com)
- Avoid HARKing your data. (mrzepczynski.blogspot.com)
- How the signals you use should affect your rebalancing strategy. (blog.thinknewfound.com)
International
- What we learn when we conduct factor research OUTSIDE the US market. (blog.alphaarchitect.com)
- Are 'mononationals' the cure to high global market correlations? (blogs.wsj.com)
Site stuff
- The 2017 Abnormal Returns campaign for charity:water is coming to an end. Grab from gear or donate to help those in need of clean drinking water. (abnormalreturns.com)
- Stay up-to-date with all our posts by signing up for our daily e-mail newsletter. (abnormalreturns.com)
Research
- More evidence that investors view capital gains and dividends as distinct things. (blog.alphaarchitect.com)
- The decision tree for the active-passive decision. (mrzepczynski.blogspot.com)
- On the relationship between information and volatility. (bloomberg.com)
- Don't give up on momentum investing. (wsj.com)
- How to assess 'fake alpha.' (papers.ssrn.com)
- Why do accruals predict earnings? (papers.ssrn.com)
- How concrete (or vague) CEO/CFOs are on conference calls affect stock prices. (papers.ssrn.com)
- Don't bother with research trying to correlate Presidential cycles with market returns. (researchaffiliates.com)