Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether stocks go down when buybacks are on hold.
Quote of the Day
"This liquidity premium is not alpha and is not based on the skill of the manager."
(Mark Rzepczynski)
Factors
- Has popularity destroyed the value factor? (alphaarchitect.com)
- How sectors/industries play a role in the small cap effect. (fortunefinancialadvisors.com)
Asset allocation
- Multi-factor portfolios as diversifiers. (alphaarchitect.com)
- How did David Swensen's recommended asset allocation for individual investors do over time? (valuestockgeek.com)
- Some interesting recent posts on asset allocation. (allocatesmartly.com)
- Is portfolio rebalancing market timing? (priceactionlab.com)
Securities selection
- If you are a stock picker, why you have to at least be experimenting with AI. (blogs.cfainstitute.org)
- How ensemble methods could be used to build better, more concentrated active portfolios. (institutionalinvestor.com)
Research links
- Higher short-term interest rates will help liquid alt returns going forward. (gmo.com)
- More evidence that relative performance plays a big role in behavior. (alphaarchitect.com)
- How risk early in retirement affects the possibility of ruin. (blog.thinknewfound.com)
- SEC comment letters do seem to have an effect on executive compensation. (papers.ssrn.com)
- Ashby Monk on the half-life of alternative data. (blogs.cfainstitute.org)
- Why institutional investors dedicate more resources to short-selling. (institutionalinvestor.com)
- Adding a measure for economic policy uncertainty does little to improve on a term spread based model. (econbrowser.com)
