Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the role currency plays in home country bias.

Quote of the Day

"So in today's finance world, the message is clear: either go big or get out. One should either employ state-of-the-art mathematical algorithms, big data and machine learning--computers working together with highly trained humans--or else leave the field to those who do. Increasingly, there is no middle ground left that has any scientifically rigorous basis."

(David H. Bailey)

Mean reversion

Research links