Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the performance of ‘boomerang CEOs.’
Quote of the Day
"High-risk stocks do not have higher returns than low-risk stocks in all major stock markets."
(Blitz et al.)
Value
- The value factor has not done well during periods when the yield curve is flattening. (factorresearch.com)
- Joe Weisenthal and Tracy Alloway talk the value factor with Chris Meredith, co-CIO of O’Shaughnessy Asset Management. (bloomberg.com)
Factors
- Can factor investing be done at the country level? (factorresearch.com)
- Why the low vol anomaly isn't going away. (alphaarchitect.com)
Research
- RIsk-parity is not the same as being short volatility. (papers.ssrn.com)
- Individual investors love lottery-style stocks. (papers.ssrn.com)
- Positive sentiment in annual reports is informative for stock prices. (clsbluesky.law.columbia.edu)
- Restrictions on short-sales increase the risk of a stock price crash. (sciencedirect.com)
- Why alternative data is not a sustainable edge. (priceactionlab.com)
- What can get children to save more money? (alphaarchitect.com)
