Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why hedge funds give away their ‘best ideas.’
Quote of the Day
"Don’t believe the spin, passive cap-weighted products are market exposure, not momentum investing."
(Ehren Stanhope)
Research links
- Cliff Asness, "I think it is a very healthy thing if we (not just AQR, but the field) continue to question all the old results not accepting anything as canon." (aqr.com)
- Approach with caution: the uncertainties around factor investing are many. (mindfullyinvesting.com)
- Investors have gone from chasing past performance to past alpha, to no effect. (quantpedia.com)
- What is the 'optimal significance level' for investment strategies? (papers.ssrn.com)
- What does the research say the usefulness of social media sentiment data in forecasting models? (academicinsightsoninvesting.com)
- Investor moods vary in some systematic ways. (papers.ssrn.com)
- How job search data can be used to assess firm prospects. (papers.ssrn.com)
- It's a good time to be a quant looking for an asset management job. (wsj.com)
- What makes Warren Buffett's track record so unique. (blog.thinknewfound.com)
