Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the many ways that portfolio optimization can go wrong.
Quote of the Day
"There are no laws of finance. Many people in finance seem to be trying to treat it as a physical science. This is a mistaken approach. Their philosophy is wrong."
(David Harding)
Philosophy
- Ehren Stanhope, "The ability to draw inference from history is kind of magical. For me at least, it provides solace when sh*t hits the fan." (factorinvestor.com)
- Academic finance journals don't publish articles with low t-statistics. (alphaarchitect.com)
- How to be a smart consumer of social science research. (hbr.org)
Research
- Why factor models need to have some basis in economic theory. (alphaarchitect.com)
- You can't generate factor returns without the short side of the equation. (factorresearch.com)
- How to think about diversification in a three-dimensional framework. (blog.thinknewfound.com)
- The benefits of global diversification for long-horizon equity investors is intact. (papers.ssrn.com)
- Research shows mutual funds run by firms with hedge funds get the short end of the stick. (barrons.com)
- How the conjunction-fallacy helps explain why investors choose active or passive strategies. (etf.com)
