Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why S&P 500 index options seem to be mispriced.
Quote of the Day
"Both theory and historical evidence demonstrate there isn’t anything unique about dividends."
(Larry Swedroe)
Factor investing
- Successful factor investing involves a lot of small decisions that add up over time. (papers.ssrn.com)
- Do volatility-weighted factor portfolios outperform equal-weights? (factorresearch.com)
- How factors help resolve the so-called 'sin stock' anomaly. (papers.ssrn.com)
- Good luck data mining your way to a new factor strategy. (alphaarchitect.com)
Research links
- Why hiring winning managers and firing losing managers doesn't work in practice. (researchaffiliates.com)
- When brokerage platforms recommend mutual funds how do they perform? (papers.ssrn.com)
- How gender and culture affect the potential for bubble blowing. (papers.ssrn.com)
- How short and long run uncertainty affect investment and the economy. (papers.ssrn.com)
- What does it mean to be a long-term investor? (papers.ssrn.com)
- Seven reasons why machine-learning funds fail. (quantpedia.com)
- Why averages can obscure rather than illuminate. (blog.thinknewfound.com)
- A handful of new papers on portfolio management. (capitalspectator.com)
