Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the ‘frustrating law of active management.’
Quote of the Day
"You can't backtest pain."
(Jack Forehand)
Factors
- What factors are S&P 500 investors unwittingly exposing themselves to? (citywireusa.com)
- Why you should look to diversify your factors globally. (researchaffiliates.com)
Stock selection
- Lottery stocks with low short interest tend to outperform. (alphaarchitect.com)
- Why the companies with the highest earnings growth expectations subsequently underperform. (papers.ssrn.com)
- Why a CEO's language on a conference call matters. (marketwatch.com)
- How industry comparisons can be misleading. (alphaarchitect.com)
Support
- Sign-up for our daily e-mail newsletter to stay up-to-date with all of our posts. (abnormalreturns.com)
- Like (and follow) Abnormal Returns on Facebook! (facebook.com)
- An Abnormal Returns membership helps support this site. (abnormalreturns.com)
Momentum
- On the relative value of cross-sectional and time-series momentum. (mrzepczynski.blogspot.com)
- Can you time managed futures? (steben.com)
Research links
- Negative bubbles: what happens after a stock market crash. (papers.ssrn.com)
- Even an optimal portfolio can experience big drawdowns. (ofdollarsanddata.com)
- An investment strategy need not generate alpha to be of value. (blog.thinknewfound.com)
- Good luck trying to make a dividend capture strategy work in practice. (alphaarchitect.com)
- Starting yields, the term premium and excess returns. (capitalspectator.com)
- Investors do not underperform their investments. (advisorperspectives.com)
- Some favorite (free) investment tools. (beta.morningstar.com)
