Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the perils of ‘rebalancing luck.’
Quote of the Day
"Today’s factor investing uses the same names and concepts as the original quants used for their ‘alpha factors’ like value, momentum and quality, but the game’s objective has flipped on its head."
(Mikhail Samonov)
Practice
- How to deal with market bubbles when studying historical data. (portfoliocharts.com)
- Tips for becoming a more creative quant. (twocenturies.com)
Corporate finance
- Another example of how firms respond to incentives: emerging market corporate bond issuance post-GFC. (papers.ssrn.com)
- Going private via PE increases the odds of bankruptcy, dramatically. (institutionalinvestor.com)
Portfolio management
- "A mechanical rebalancing strategy, such as a monthly or quarterly reallocation towards fixed portfolio weights, is an active strategy." (papers.ssrn.com)
- There is a cost to running a diversified portfolio, the lack of positive skew. (morningstar.com)
Research
- Does low vol work across sectors and regions? (evidenceinvestor.com)
- Timing luck is not just a problem for momentum strategies. (blog.thinknewfound.com)
- Does the PMI give us any insight into factor returns? (alphaarchitect.com)
- Research on may not want to put your month with a bank-affiliated advisor. (alphaarchitect.com)
- Some research into the returns on collectibles. (alphaarchitect.com)
