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.
Chart of the Day
The share of US companies with product references in their names has fallen precipitously over time.
Technique
- Data mining alone isn't responsible for the zoo of return factors. (papers.ssrn.com)
- Some thoughts on how to use machine learning in equity investing. (euclidean.com)
- Three common financial modeling errors. (allaboutalpha.com)
Factor behavior
- Nobody is forcing investors to take on style and/or factor risk. (aqr.com)
- Does pursuing smart beta strategies lead to worse investor behavior and outcomes? (researchaffiliates.com)
- The returns from low-vol strategies come with a cost. (factorresearch.com)
Long/short equity
- Identifying the sources of performance in long/short equity strategies. (blog.thinknewfound.com)
- Short-selling involves two different effects: short-trading and short-investing. (papers.ssrn.com)
Research
- The tracking error to a trend following strategy is large. (alphaarchitect.com)
- What hedge fund strategies actually add value to an already diversified portfolio? (papers.ssrn.com)
- How big a tax burden do mutual funds have vs. ETFs? (alphaarchitect.com)
- Why are surveys of investor equity market expectations so off the mark? (papers.ssrn.com)
- Some international evidence that bank-affiliated mutual funds underperform independent peers. (alphaarchitect.com)
- On the value of staggered boards of directors. (papers.ssrn.com)
