Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the value of diversifying your diversifiers.
Factors
- Putting academic factor portfolios into practice can be extremely painful. (alphaarchitect.com)
- Factors demonstrate momentum as well, however implementation is an issue. (factorresearch.com)
Fund analysis
- Research shows that, on average, consultant-recommended investment products perform no better than other products available to institutional investors. (etf.com)
- On the limitations of Active Share in analyzing active (concentrated) managers. (ssgainstitutional.com)
Trading
- Why trade optimization research is well worth the effort. (blog.thinknewfound.com)
- Why the speed of trading matters when building models. (ederman.com)
Research
- Comparing the returns of 100% stocks vs. a levered 60/40 portfolio. (wisdomtree.com)
- On the relationship between social media sentiment and stock liquidity. (alphaarchitect.com)
- Activist investors can help shareholders when they block or alter the terms of a merger. (sciencedirect.com)
- What the SF Fed has to say about the predictive ability of the yield curve on recessions. (frbsf.org)
