Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the downside of short sale restrictions.
Debunking
- Sector momentum was never all that effective. (blog.thinknewfound.com)
- The 'demise of value' is not a function of the past decade. (papers.ssrn.com)
Quant stuff
- Investment risk is not static: it changes with product innovation and our understanding thereof. (magnetar.com)
- How to apply Hick's Law to investing. (mrzepczynski.blogspot.com)
- An interview with Marcos Lopez de Prado about machine learning in finance. (mathinvestor.org)
- It's hard to overstate the importance of good data visualization technique. (scientificamerican.com)
Research
- There are ways to 'crisis proof' a portfolio but it isn't easy. (alphaarchitect.com)
- How can investors can “roll their own” long/short portfolio even if they do not have the ability to short individual securities. (blog.thinknewfound.com)
- How interest rates affect managed futures performance. (institutionalinvestor.com)
- On the returns to the bond carry factor. (cfainstitute.org)
- Ben Graham's 'net-nets' have historically generated high returns. Good luck finding any. (alphaarchitect.com)
- CEOs are remunerated for good luck, but not penalized for bad luck. (papers.ssrn.com)