Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at three things a quantitative system can’t answer.
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Quote of the Day
"Information does not flow into the market at a constant rate."
(Corey Hoffstein)
Trend following
- How one fund applies machine learning to systematic trend following. (thehedgefundjournal.com)
- Is trend following degraded? If so, what to do about it? (rivershedge.blogspot.com)
Factors
- How goes the 'Factor Olympics' in Q1 2019? (factorresearch.com)
- Why should certain factors have worked so long and so well? (morningstar.com)
Quant stuff
- What is the best training for finance PhDs? (mathinvestor.org)
- What it was like to take a class from Fischer Black. (themarketcyclist.com)
Research links
- Some pitfalls to avoid when assessing market-timing strategies. (alphaarchitect.com)
- Negative first impressions affect how an analyst views a company for awhile. (papers.ssrn.com)
- The link between increased indexing and reduced competition is tenuous, at best. (morningstar.com)
- More evidence that short-sellers know what they are doing, especially in smaller stocks. (alphaarchitect.com)
- If investors are heterogeneous, trading costs matter a lot. (papers.ssrn.com)
- The impact of activist investors is overhyped. (institutionalinvestor.com)
