Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how proximity affect analyst research.
Quote of the Day
"Things like imagination, creativity, and innovation - are experienced by the divergent mind. Yet as quants, we rarely spend time on divergent activity."
(Mikhail Samonov)
Factors
- Are the returns to factors regime-specific? (alphaarchitect.com)
- How to get a handle on government bond factors. (sr-sv.com)
- A review of some recent research on factor investing strategies. (capitalspectator.com)
Global
- How much of US outperformance vs. Europe is due to sector weights? (albertbridgecapital.com)
- How rising correlations have wrecked the case for international equity diversification. (blogs.cfainstitute.org)
Portfolio management
- What happens when there are more funds than stocks? (papers.ssrn.com)
- The track record of activist investors is generally disappointing. (factorresearch.com)
Research
- Corey Hoffstein, "In line with our mathematical model, we generally find that those strategies with higher turnover have higher timing luck and those that rebalance more frequently have less timing luck." (blog.thinknewfound.com)
- Systematically hedging a portfolio with put options is expensive. (movement.capital)
- A review of some misconceptions and mischaracterizations related to dividends including whether investors should be indifferent between dividends and capital appreciation. (alphaarchitect.com)
- A review of the "Protective Asset Allocation" model. (blog.validea.com)
- How to frame your work with AI. (mrzepczynski.blogspot.com)
