Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether single CEOs have a higher tolerance for risk.
Quote of the Day
"We believe that smart beta strategies are best understood not as a form of passive, but rather as highly constrained versions of a fully active systematic investment process."
(Seth Weingram)
Economics
- Economics has its own replication problem. (onlinelibrary.wiley.com)
- Why finance needs both the Famas AND Thalers of the world. (alphaarchitect.com)
- People buy more stuff on sunny days. (papers.ssrn.com)
Corporates
- Is the amount of cash a company holds, a priced factor? (etf.com)
- Research shows that the rise of Estimize has changed how the sell-side makes earnings estimates. (papers.ssrn.com)
Market timing
- Is there a way to quantitatively identify a bubble before it bursts? (alphaarchitect.com)
- Stock market returns drift in the direction of FOMC policy changes. (papers.ssrn.com)
- Why trend-following works. (etf.com)
Research
- How much data should you use to calculate a risk-parity covariance matrix? (blog.thinknewfound.com)
- Can Fama-French alphas be used to run a sector rotation strategy? (allocatesmartly.com)
- Do factors work in international equities? (wisdomtree.com)
- SEC employees generate abnormal returns. (papers.ssrn.com)
- Can you use quant strategies in the cryptocurrency space? (factorresearch.com)
