Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the liquidity premium.
Quote of the Day
"It requires no stretch of the imagination to envision mutual fund providers implementing the authors’ findings to create “Buffett-style” portfolios...but you will not be able to invest like Buffett while doing so back in the day. You will need to do so now, when the stocks that carry Buffett’s favored attributes have already been rewarded. Their secret, after all, is out."
(John Rekenthaler)
Research links
- Diversification can only do so much to smooth out return streams without hurting returns. (blog.thinknewfound.com)
- One of the great benefits of international investing is applying factors across markets. (factorinvestor.com)
- On the interaction between herding and momentum. (sr-sv.com)
- How a more diversified trend-following system can reduce the "cost" of following the strategy. (blog.thinknewfound.com)
- Ensemble active management techniques explained. (blogs.cfainstitute.org)
- The case for combining ESG and value factors. (factorresearch.com)
- A list of long-term factor studies. (twocenturies.com)
- Corporate managers are no better at controlling their optimism than anyone else. (alphaarchitect.com)
- Take with a grain of salt, but fund nonetheless: on the performance of class cars as an investment. (cxoadvisory.com)
