Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether we are mis-estimating the risk of distressed stocks.
Managing money
- Hedge funds with more internal investment outperform. (papers.ssrn.com)
- Active management is noisy. What implications does it have for the industry? (papers.ssrn.com)
Emerging markets
- MSCI reclassifications tend to cause prices to overshoot. (papers.ssrn.com)
- The emerging markets keep evolving but our analysis has remained static. (gmo.com)
Research
- Robust portfolios trump optimal portfolios. (blog.thinknewfound.com)
- REITs are nothing special asset class-wise. (etf.com)
- Everything you need to know about the VIX...and more. (info.rcmalternatives.com)
- Why has covered interest rate parity broken down? (ftalphaville.ft.com)
- Futures brokerage is now almost entirely electronic. (mrzepczynski.blogspot.com)