Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how ‘hedge fund crowdedness’ affects tail risk.
Behavior
- Another example of the use of the 1/N heuristic. (papers.ssrn.com)
- What is salience theory and how does it affect how we think about risk? (sr-sv.com)
- Overconfidence is a big problem when it comes to crowdfunding. (news.iu.edu)
- Giving consumers information about peer spending greatly affects behavior. (papers.ssrn.com)
Trend
- Three applications of trend equity. (blog.thinknewfound.com)
- Some research into the strategy underlying the Pacer TrendPilot® US Large Cap ETF ($PLTC). (priceactionlab.com)
- An examination of Ilya Kipnis’ “Defensive Adaptive Asset Allocation” (KDA). (allocatesmartly.com)
Managers
- Measuring Bill Gross' alpha. (papers.ssrn.com)
- Do managers' alma maters matter? (citywireusa.com)
- For whatever reason, portfolio managers in India have been able to handily beat their benchmarks. (wsj.com)
Research
- Seasonal patterns work until they don't. (fisherinvestments.com)
- The momentum factor IS factor momentum. (papers.ssrn.com)
- Long term discount rates don't vary much across companies. (papers.ssrn.com)
- On the dangers of portfolio rebalancing for the recently retired. (alphaarchitect.com)
- How to access market data at Tilingo.com. (capitalspectator.com)
