Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the ins and outs of earnings management.
Quote of the Day
"So creativity shouldn’t just be limited to artists. Quant traders need to get creative and most importantly, find inspiration!"
(Saeed Amen)
CEOs
- Was a CEO pushed out or resigned? A model to answer that question. (papers.ssrn.com)
- CEOs that are psychopaths have stocks with lower returns. (dealbreaker.com)
Testing
- How to do in and out-of-sample testing. (alvarezquanttrading.com)
- Why you should never use the Hodrick-Prescott filter. (voxeu.org)
Funds
- Does managing multiple funds detract from performance? (citywireusa.com)
- When does using riskier collateral make sense with managed futures? (mrzepczynski.blogspot.com)
Research
- Momentum works but there are a lot of different ways to calculate it. (investresolve.com)
- Why past performance is not all that good an indicator. (etf.com)
- Can you use style premia to time the bond market? (blog.thinknewfound.com)
- Are crowdsourced earnings estimates a better measure? (blog.alphaarchitect.com)
- Activist investors are getting sold out by their brokers. (blogs.wsj.com)
- How much do bank profits depend on the term spread? (libertystreeteconomics.newyorkfed.org)
