Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the feasibility of timing factor returns.
Small caps
- The case against small caps. (blogs.cfainstitute.org)
- A proper measure of small cap, i.e. liquidity, identifies profitable stocks. (mailchi.mp)
Pricing
- Roger Ibbotson explains the Popularity Asset Pricing Model. (blogs.cfainstitute.org)
- Frank Fabozzi is not a fan of the current state of academic economics and finance. (mathinvestor.org)
Research
- If you believe value investing is dead then you are arguing against a boat load of academic research. (alphaarchitect.com)
- Does it matter how you invest in factors, so long as you are somewhat diversified? (factorresearch.com)
- What machine learning can, and more importantly can't do, in finance. (aqr.com)
- An illustration how dropping the GFC from performance measures changed the nature of top performing funds. (markovprocesses.com)
- What happens to corporate governance if the three biggest asset managers (Blackrock/Vanguard/SSGA) control 40% of shareholder votes? (nber.org)