Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the disappointing returns from liquid alternatives.
Alts
- Traditional equity market neutral strategies may be played out. (priceactionlab.com)
- Research indicates that private equity co-investments tend to underperform. (papers.ssrn.com)
Data science
- More complex trading strategies are more liable to overfitting, and deteriorated performance. (academicinsightsoninvesting.com)
- What data scientists do, according to actual data scientists. (hbr.org)
Factors
- What happens when you apply factors to thematic ETFs? (blog.thinknewfound.com)
- What profitability factor works on a global basis? (papers.ssrn.com)
- On the relationship between the low vol, low Beta and low correlation factors. (factorresearch.com)
Research
- Finance academics could not have written this paper on transaction costs. (alphaarchitect.com)
- A look at why strategies with similar long-run returns can have notable short-term divergences in performance. (investresolve.com)
- On the relationship between economic uncertainty and the small cap effect. (quantpedia.com)
- Beware firms with high accrual momentum. (alphaarchitect.com)
- Are investors any good at identifying 'fake' stock news? (papers.ssrn.com)
