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
- Mean reversion is not a constant in or across markets. (factorresearch.com)
- The mean-reversion factor as a tail-risk hedging strategy. (factorresearch.com)
Research links
- The low volatility anomaly is really a reflection on the poor performance of 'lottery stocks.' (alphaarchitect.com)
- Should your multi-factor fund be integrated or mixed? (researchaffiliates.com)
- Have technical trading rules historically worked in the Chinese stock market? (alphaarchitect.com)
- How to use Bayesian analysis to reflect on an underperforming asset. (alphaarchitect.com)
- Measures of company quality work to the degree they predict future earnings growth. (papers.ssrn.com)
- Some white papers on the future of asset management. (linkedin.com)