Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how star ratings affect decision making.
Quote of the Day
"Models are simplifications. They offer a shorthand at explaining the world. Empirical models simplify regularities found within data, but these simplifications need a way to be imprinted in the brain when action is needed."
(Mark Rzepczynski)
Trend following
- What is the correct benchmark for trend-following? (alphaarchitect.com)
- A longer-term test of the Global Equities Momentum model. (dualmomentum.net)
Factors
- Why "commodity" factors are no longer enough to generate alpha. (osam.com)
- The profitability factor is present in global markets as well. (alphaarchitect.com)
Management
- The presence of activist investors helps curb empire building on the part of management. (papers.ssrn.com)
- Do family-controlled businesses outperform? (credit-suisse.com)
Research
- The best systems don't necessarily have the highest returns, they are the most robust. (theintelligentallocator.com)
- "Stocks with high crash probability are overpriced regardless of the level of institutional ownership or variations in investor sentiment..." (sciencedirect.com)
- How to build better multi-factor strategies: portfolio blending vs. signal blending. (alphaarchitect.com)
- A carry-trend-hedge approach to timing US interest rate duration. (blog.thinknewfound.com)
- Statistical arbitrage depends in large part on transaction costs. (factorresearch.com)
- Put that phone down! A shortage of attention can lead to poor financial choices. (wsj.com)
