Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at what happens when analysts drop coverage of small companies.
Quote of the Day
"Wisdom in investment management comes from the experience of knowing what to count and is countable against knowing what should not be counted and should be subjective measured against theory or specific events."
(Mark Rzepczynski)
Research links
- Justin Sibears, "Portfolio construction is a lot like cooking. There are two equally important elements: the ingredients and the recipe. The ingredients are the signals that are used to select investments. The recipe is the set of rules used to transform those signals into portfolio allocations." (blog.thinknewfound.com)
- Why you won't find 'true alpha' in any academic papers. (priceactionlab.com)
- The demand for higher beta stocks explains why the security line is flatter than the CAPM predicts. (alphaarchitect.com)
- What types of funds hold 'lottery stocks'? (etf.com)
- How much of home country bias is home currency bias? (papers.ssrn.com)
- What volatility targeting can, and more importantly, can't do. (papers.ssrn.com)
- O'Shaughnessy Asset Management is launching the OSAM Research Partners program to produce new research. (osam.com)
- Five research papers you need to check out on: baseball cards, fintech and avoiding investor tips. (alphaarchitect.com)
- A round-up of papers covering the use of factors in bond investing. (linkedin.com)