Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at which strategies are most at-risk of ‘timing luck.’
Quote of the Day
"Thinking is hard; that is why we do so little of it. Thinking requires looking for links between the past and predictions of the future. Sometimes these links are present. Sometimes the links change in unexpected ways."
(Mark Rzepczynski)
Shorting
- Why you need to break out the long and short legs of a factor strategy. (papers.ssrn.com)
- Do you need short-legs to make factors work? (alphaarchitect.com)
Macro stuff
- What do inverted yield curves tell us about the stock market? No that much. (mrzepczynski.blogspot.com)
- This paper demonstrates that Fed actions to reduce interest rates below equilibrium Taylor Rule levels are correlated with lower equity market returns. (alphaarchitect.com)
History
- Shareholder yield isn't a new idea, but it is effective. (osam.com)
- Ancient coin designs encoded increasing amounts of economic information over centuries. (sciencedirect.com)
Research
- You can't build a momentum factor without some consideration of risk. (mrzepczynski.blogspot.com)
- In what ways are sell-side analysts biased? (alphaarchitect.com)
- Why does management bury bad news in the footnotes? Because it works. (institutionalinvestor.com)
- ESG investing is a luxury good. (factorresearch.com)
