Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at implementation costs for momentum strategies.
Quote of the Day
"Finance is not special. It has been known for 10 years that over half of the research in medicine is likely false. This is not just an issue with finance. It is about making a basic mistake in statistical analysis—thinking that you’re testing something."
(Campbell Harvey)
Factors
- Everyone is a factor investor in one way or another. (alphaarchitect.com)
- The case for using multiple factors vs. value alone. (factorresearch.com)
- Do factor portfolios survive transaction costs? (alphaarchitect.com)
Value
- What characterizes periods when value is really cheap? (papers.ssrn.com)
- The traditional growth-value indices really aren't that useful. (fortunefinancialadvisors.com)
Portfolios
- The vast majority of modern portfolios are not all that efficient. (blog.thinknewfound.com)
- Diversification is great, over-diversification not so much. (alphaarchitect.com)
Research
- Using a fundamental economic indicator doesn't add value above simple market timing. (cxoadvisory.com)
- A better way to model the $VIX. (cxoadvisory.com)
- When you announce earnings matters. (papers.ssrn.com)
- Hedge fund employees take on real career risk. (institutionalinvestor.com)
- These are the best research white papers of 2017. (savvyinvestor.net)
