Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at fifty years of put-call parity.
Chart of the Day
As we redefine beta, alpha is getting squeezed.
- If you use secondary prices, private equity returns are far more volatile. (papers.ssrn.com)
- Management buyouts often occur when an entire industry is undervalued. (corpgov.law.harvard.edu)
- There are a lot of decisions to make when designing a trend-following system. (drive.google.com)
- Good explanations of the momentum effect have been elusive. (anderson.ucla.edu)
- Machine learning is a powerful tool. However you need economic theory to make sense of it. (mathinvestor.org)
- Make sure you are hiring the right kind of data scientist. (hbr.org)
- Can you map your factors to the fundamental investment drivers? (actiquant.com)
- Low vol stocks outperform, but not always. Can you capture the difference? (bsam.com)
- Hedge funds really do price stocks on the margin. (alphaarchitect.com)
- Some research links on how to generate long-term asset class return forecasts. (savvyinvestor.net)
- Five questions on value investing for Wes Gray of Alpha Architect. (blog.validea.com)
- Nobody likes selling at a loss...especially company insiders. (academic.oup.com)
- The downside of academics being fixated on getting their papers into the 'top 5' journals. (papers.ssrn.com)