Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a piece in praise of the investment that bubbles bring.
Quote of the Day
"All trading strategies and allocations may fail when there is a major change in market conditions and a new regime emerges."
(Michael Harris)
Factors
- Research on how to use value, momentum and carry in the bond markets. (blog.thinknewfound.com)
- Why the small-cap premium should persist. (etf.com)
- The long-run evidence for low vol strategies look pretty good. (fortunefinancialadvisors.com)
Research
- A look at the many ways that backtests can go wrong. (priceactionlab.com)
- How overconfidence and inattention play a role in asset pricing. (sr-sv.com)
- Why the CAPE ratio is high no matter how you slice it. (researchaffiliates.com)
- Why you should avoid 'alpha male' hedge fund managers. (papers.ssrn.com)
- How a quantitative approach to merger arb can add value. (alphaarchitect.com)
- Evidence in favor of limiting retail investors access to leverage. (papers.ssrn.com)
