Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how to reduce ‘portfolio fragility.’
Quote of the Day
"The empirical evidence for low volatility is very fragile...Fifteen of the 16 volatility measures we looked at don’t work using the broadest sample of stocks."
(Lu Zhang)
CEOs
- Personal CEO Twitter accounts can give some clue as to future earnings news. (papers.ssrn.com)
- We often focus on CEO communications, but what about the role of IR people? (papers.ssrn.com)
Earnings forecasting
- How crowdsourced earnings estimates reduce information asymmetry. (papers.ssrn.com)
- There is little good news in the data on analyst earnings forecasting. (blogs.cfainstitute.org)
Corporate finance
- Cause vs. effect: why do firms with higher insider ownership have lower valuations? (papers.ssrn.com)
- How does the "benchmark inclusion subsidy" affect investment decisions? (papers.ssrn.com)
- Corporate diversity is an unambiguous good, but the data on it as a return driver is lacking. (researchaffiliates.com)
Quant stuff
- How data science is changing the practice of investment management. (alphaarchitect.com)
- Why seasonality statistics are mostly random. (priceactionlab.com)
- Six recent articles on asset allocation. (allocatesmartly.com)
- A year's worth of quant link tweets. (cuemacro.com)
Research
- Risk factors and risk premia are not the same thing. (mrzepczynski.blogspot.com)
- There is nothing special about the aggregate performance of college endowment funds. (institutionalinvestor.com)
- How media sentiment in global markets capture investor sentiment. (papers.ssrn.com)
- Why the CAPE ratio is useless as a market timing tool. (assetclasstrading.com)
- Don't open that Lego set! (cxoadvisory.com)
