Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at why there isn’t going to be ‘another Warren Buffet.’
Quote of the Day
"Modern finance is better at identifying so-called anomalies than it is at comprehending their causes—an insight that is required if we are to understand what to do with our discoveries."
(John Rekenthaler)
Data
- Can COT data be used to create a reliable trading strategy? (alphaarchitect.com)
- Quants know that getting and cleaning up the data is half the battle. (institutionalinvestor.com)
- Trends gleaned from credit card data will become increasingly available. (fortune.com)
- How to measure a company's R&D productivity. (forbes.com)
Factors
- The intuition around multi-factor strategies is challenging, at best. (aqr.com)
- The 'smart beta' exposures investors get these days are pretty tepid. (factorresearch.com)
Expected returns
- A closer look at expected private equity returns. (aqr.com)
- The equity risk premium is not an ATM. (alphaarchitect.com)
- Trend following is unique in its convex payoff pattern. (blog.thinknewfound.com)
Research
- Stress-testing six tactical asset allocation ETFs. (capitalspectator.com)
- There is a good reason why companies prefer to issue levered loans vs. high yield bonds. (papers.ssrn.com)
- How have sovereign bonds performed since Waterloo (the battle, not the Abba song). (cepr.org)
- Does financial literacy education improve outcomes? The answer is complicated. (alphaarchitect.com)
- The disposition effect is a mother. (etf.com)
- A summary of recent ESG research. (capitalspectator.com)
