Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the trading skill of SEC employees.
Quote of the Day
"Ignoring implementation costs, there is still widespread belief that factors can enhance return or decrease risk."
(Gary Antonacci)
Anomalies
- How big a portfolio do you need to effectively capture factor exposures? (factorresearch.com)
- How big a role does shorting play in anomaly research? (quantpedia.com)
Research
- Exploring the sleight-of-hand managers use to tout active management. (etf.com)
- Institutional investors are no better at trading than random. (etf.com)
- How to translate options-implied probabilities into real-world probabilities. (blog.thinknewfound.com)
- Why did firms start increasingly pay dividends around 2000? (papers.ssrn.com)
- Companies whose CEOs have daughters seem to do better on measures of social responsibility. (alphaarchitect.com)
- How to hire a behavioral scientist. (behavioralscientist.org)
