Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at evidence of cryptocurrency market manipulation.
Quote of the Day
"Using better techniques to find improved signals is a worthy goal...The Occam's Razor of model-building should apply; just the right amount of rules to do what is required, just the most direct technique to find a solution."
(Mark Rzepczynski)
Momentum
- Does 'crash sensitivity' explain the momentum anomaly? (quantpedia.com)
- How predictable is the Sharpe Ratio of momentum strategies? (blogs.cfainstitute.org)
- What is the best way to combine the value and momentum factors in a portfolio? (alphaarchitect.com)
Business cycle
- A review of recent research on the business cycle. (capitalspectator.com)
- In praise of the investment that bubbles bring. (papers.ssrn.com)
Research
- Small decisions can affect the performance of like strategies. (blog.thinknewfound.com)
- How relative-age affects manager performance. (papers.ssrn.com)
- Some evidence that Seeking Alpha opinions have value. (alphaarchitect.com)
- Short-selling is a crucial part of keeping anomalies at-bay. (papers.ssrn.com)
- Six big trends in portfolio management. (savvyinvestor.net)
