Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at disappointing liquid alt returns.
Factors
- Putting a simple factor model: "low risk, cheap, and strong" to the test. (alphaarchitect.com)
- The low-vol effect historically plays out during periods of market stress. (alphaarchitect.com)
- On the relationship between short-term momentum in equity factors and the existence of tradeable products. (factorresearch.com)
Funds
- A framework for analyzing multi-factor funds. (morningstar.com)
- Actively managed funds play a big role on earnings announcement days. (papers.ssrn.com)
- Do leveraged ETFs do what they say they are going to do? (alphaarchitect.com)
Individual investors
- Research shows individual investors are too quick to sell stocks at or near 52-week highs. (afr.com)
- From the horse's mouth: what individual investors talk about what matters. (faculty.som.yale.edu)
Research
- Michael Mauboussin takes a deep dive into the EV/EBITDA multiple. (bluemountaincapital.com)
- Have the rise in intangible assets broken the book/price effect? (wsj.com)
- A 90/60 portfolio will only have an equity beta higher than 1.0, 20% of the time. (wisdomtree.com)
- Data mining is easy to do. Some steps on how to avoid the obvious issues. (dualmomentum.net)
- The round number effect is alive and well in the futures markets. (allaboutalpha.com)
- Some people to follow for retirement research. (rivershedge.blogspot.com)
