Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at some persistent myths about the tulip bubble.
Factors
- Sequential factor model sorts often end up with very concentrated portfolios. (factorresearch.com)
- A review of four elements of putting together a smart beta strategy that can get overlooked. (researchaffiliates.com)
- What is the right frequency to rebalance multi-factor portfolios? (factorresearch.com)
- Why the factor exposure story doesn't add up. (alphaarchitect.com)
Research
- Higher volatility makes put-writing strategies all the more attractive. (gmo.com)
- There is no single way to evaluate the peformance of multi-asset strategies. (academicinsightsoninvesting.com)
- On the importance of dividend reinvestment. (priceactionlab.com)
- There seem to be some 'informed traders' out there making money. (alphaarchitect.com)
- Overconfident CEOs have a tendency to buy back more stock. (papers.ssrn.com)
- Activist investors provide a valuable service in reining back poor acquisitions. (papers.ssrn.com)
- How to analyze the 'ideology' of institutional investors. (papers.ssrn.com)
