Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look why you should take heed when an independent director jumps ship prematurely.
Quote of the Day
"Is there a unique value that human judgment brings to the investment process — or any other? In the readily quantifiable money game, the human domain will keep shrinking."(The FT)
Chart of the Day
Trend following is a robust strategy.
- The value effect isn't either or: it has both behavioral and risk-based explanations. (alphaarchitect.com)
- Unintended factor bets are hard to wrangle. (blog.thinknewfound.com)
- How fees affect the returns from long-short factor portfolios. (factorresearch.com)
- Don't trust a strategy until it has been independently verified. (allocatesmartly.com)
- Algorithm aversion is still holding back adoption of quant strategies. (citywireselector.com)
- Six books for aspiring data scientists including "Practical Statistics for Data Scientists " by Andrew & Peter Bruce. (hackernoon.com)
- How an academic paper kicked off the commodity investment boom a decade ago (or so). (awealthofcommonsense.com)
- On the downside of having concentrated ownership of a hedge fund. (papers.ssrn.com)
- The reaction to earnings vs. earnings themselves explain more about stock returns. (papers.ssrn.com)
- Some evidence that cryptocurrency market manipulation is a thing. (sciencedirect.com)