Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at ten ways to be a better quant.
Trend following
- Weighing the evidence for trend following strategies. (alphaarchitect.com)
- Under what conditions do trend following strategies work? (sr-sv.com)
Companies
- When a company is added to Estimize, sell-side analysts become less biased. (papers.ssrn.com)
- Insider trading is far more pervasive than commonly thought. (economist.com)
- Actively managed mutual funds are more likely to side with activist investors. (papers.ssrn.com)
Finance
- Low-risk banks make more money. (quantpedia.com)
- Short-sellers can sniff out forthcoming credit rating agency announcements. (academicinsightsoninvesting.com)
Quants
- Machine learning is coming. Why quants need to get up to speed. (cxoadvisory.com)
- A guide to best quant websites. (quantinsti.com)
Behavioral biases
- Financial advisors recommend poorly constructed portfolios because that is what they invest in themselves. (papers.ssrn.com)
- How colors, like red, affect our decision making and risk taking. (papers.ssrn.com)
Volatility
- Why has idiosyncratic firm volatility declined over time in the US? (nber.org)
- What is the volatility tax? (zerohedge.com)
Research
- How to build a better portfolio than a 60/40 portfolio. (alphaarchitect.com)
- Dollar-cost averaging (vs. investing a lump sum) is just another form of market timing. (blog.thinknewfound.com)
- How to use a small cap value strategy to mimic the returns from private equity. (blog.validea.com)
- Estimating factor models for a panel of 46 countries. (papers.ssrn.com)
- Factors vs peers: which is better for identifying hedge fund alpha. (institutionalinvestor.com)
- When indexes change an opportunity arises for active managers. (economist.com)