Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at what spikes in Twitter sentiment imply for stock liquidity.
Factors
- Efficient factor investing requires a recognition and understanding of how factor characteristics drive portfolio returns. (papers.ssrn.com)
- How can you tell when a factor is overcrowded? (factorresearch.com)
- How big an effect can a single stock have on factor returns? (blogs.cfainstitute.org)
Research
- Systematic managers have an advantage when it comes to performance evaluation. (blog.thinknewfound.com)
- How volatility targeting works as a momentum strategy. (quantpedia.com)
- Is the 'return gap' worse with ETFs vs. mutual funds? (papers.ssrn.com)
- Who needs hedge funds when you can invest directly in alternative risk premium strategies? (mrzepczynski.blogspot.com)
- Endowment funds with more experienced board members perform better. (institutionalinvestor.com)
- Will AI ever get up-to-speed with value investing? (academicinsightsoninvesting.com)
- What finance and economics need to do to "reclaim their status as 21st century empirical sciences." (mathinvestor.org)
