Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how Morningstar’s fund ratings have performed of late.
Quote of the Day
"Implementation matters, which means that knowing the details will also matter for any risk premia choice. This requirement for understanding the details is no different than knowing the differences in manager strategies. There is value with doing a deep due diligence."
(Mark Rzepczynski)
Research
- Should taxable investors shun dividends? (aqr.com)
- The curse of popularity: on the Popularity Asset Pricing Model. (alphaarchitect.com)
- There are a number of explanations why low vol strategies should outperform. (mrzepczynski.blogspot.com)
- The value factor has been problematic not just in the US. (factorresearch.com)
- Can factors be timed successfully? Not really. (alphaarchitect.com)
- A look at how trend following strategies have performed over time. (morningstar.com)
- Markets don't like when companies announce an SEC investigation. (institutionalinvestor.com)
