Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the rise of multi-factor ETFs in the US.
Chart of the Day
After factoring in factors, Warren Buffett’s Berkshire Hathaway ($BRK.A) has generated strong alpha of late. (via @FactorResearch)
Factors
- The cash-conversion-cycle seems to be an effective factor. (alphaarchitect.com)
- A census of the growing 'Factor Zoo.' (papers.ssrn.com)
- A look at "Factor Momentum Everywhere." (mrzepczynski.blogspot.com)
Private equity
- Is the 'illiquidity premium' really a thing? (allaboutalpha.com)
- An analysis of the recent cohort of companies taken private by private equity. (files.pitchbook.com)
Research
- Trend-following strategies tend to have convex returns. The question is how convex are they under different circumstances. (blog.thinknewfound.com)
- The 'overnight returns puzzle' is not really a puzzle. (albertbridgecapital.com)
- Aggregate investor self-confidence is related to trading activity and risk appetite. (alphaarchitect.com)
- A round-up of some recent research white papers on portfolio management. (capitalspectator.com)
