Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the benefits of domain expertise when doing financial research.
Quote of the Day
"Money managers know how to buy. What they need to do is to learn how to sell. Most of them are terrible job at it."
(Barry Ritholtz )
Model fragility
- Diversifying across different models helps reduce specification risk and strategy fragility. (blog.thinknewfound.com)
- Does it matter what day of the month you rebalance your portfolio? (alphaarchitect.com)
Factors
- The evidence for factor momentum is strong. (papers.ssrn.com)
- ESG is systematically exposed the low vol and quality factors. (factorresearch.com)
Time horizons
- Why do low-duration equities outperform? (cfainstitute.org)
- How the distribution of equity returns changes over different time horizons. (alphaarchitect.com)
