Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at what factor work best with microcaps.
Bonds
- Active bond managers may be doing it all wrong. (alphaarchitect.com)
- Bonds are an uncertain hedge against stock market volatility. (blog.thinknewfound.com)
- Why the world real interest rate has fallen over the past three decades. (papers.ssrn.com)
Research
- How you construct a multi-factor portfolio matters. (alphaarchitect.com)
- Under what conditions does the value factor pay off? (factorresearch.com)
- Research indicates that hedge funds price stocks on the margin. (etf.com)
- Leverage induced fire sales play a big role in stock market crashes, the case of China. (papers.ssrn.com)
- How categorized ratings, i.e. star ratings, affect asset allocation decisions. (papers.ssrn.com)
- Is the shift from active to passive investing increasing financial stability risks? (papers.ssrn.com)
- Feature or bug? Public pension funds are less than spectacular infrastructure fund investors. (papers.ssrn.com)