Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at some of the pitfalls when assessing market timing strategies.
Quote of the Day
"Warren was the “OG” quant."
(John Hawver)
Momentum
- News momentum is real. (alphaarchitect.com)
- With momentum strategies, an ensemble method helps reduce specification risk. (investresolve.com)
- Measuring momentum in Imperial Russia. (alphaarchitect.com)
Funds
- The game theory behind falling fund fees. (flowspring.com)
- Retail investors use naive measures when selecting mutual funds to invest in. (cxoadvisory.com)
- Distracted portfolio managers make mistakes. (alphaarchitect.com)
ERP
- The term structure of equity risk premia is generally upward sloping. (papers.ssrn.com)
- To what degree do net buybacks explain cross-country market returns? (wsj.com)
- Estimating future equity market returns ain't easy. (etf.com)
Taxes
- How to mitigate the impact of taxes on trend equity strategies. (blog.thinknewfound.com)
- How much value is there in tax-managing a factor strategy? (cfapubs.org)
