Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at what you get when you combine low-vol and options-based strategies.
Quant
- How machine learning differs from traditional regression techniques. (mathinvestor.org)
- AI-powered hedge funds have generated decent performance. (factorresearch.com)
Firm-level stuff
- Why the that disclosure of non-operating and less persistent income-statement items are "both frequent and economically significant." (papers.ssrn.com)
- Can firm-level characteristics enhance a momentum strategy? (alphaarchitect.com)
- Why are some companies much more expensive than they should be? (mailchi.mp)
Research
- Ten years of outperformance is still just noise in the big picture. (evidenceinvestor.com)
- How momentum explains a bunch of equity factors. (quantpedia.com)
- ESG portfolios need to be optimized on (at least) two different criteria: returns and ESG scores. (aqr.com)
- Birds of a feather flock together or why you should care who else owns the stocks in your portfolio. (morningstar.com)
- How a CEO's personality can affect a company's stock price. (hbr.org)
