Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at three trends that held back hedge fund returns over the past decade.
Quote of the Day
"The worst thing market participants can do is pay attention to fundamental/technical analysis in financial media because it causes cognitive dissonance and often results in erratic performance."
(Michael Harris)
Research round-up
- Some of the best research papers from 2019. (integratinginvestor.com)
- Azi Ben-Rephael, Xi Dong, Massimo Massa and Changyun Zhou won the Richard A. Crowell Prize for their paper "Foreign Sentiment." (pionline.com)
- A review of some recent papers on value investing. (capitalspectator.com)
Fundamental analysis
- How to use credit card data to predict company sales (and earnings). (sciencedaily.com)
- More transparent customer metrics would help analysts better analyze a company. (hbr.org)
Fixed income
- How to use dynamic style analysis to conduct due diligence on a high profile core bond market fund. (markovprocesses.com)
- A lot of active fixed income is just loading up on credit risk relative to the benchmark. (mrzepczynski.blogspot.com)
Research
- Some reasons why institutional investors pay the (high) illiquidity discount investing in private equity. (aqr.com)
- When more complexity makes for better trend following results. (alphaarchitect.com)
- What does the research on stock buybacks around the world show? (evidenceinvestor.com)
- What happens to the Fama-French 3 factor model if you re-specify the value and size factors? (blog.thinknewfound.com)
- Research demonstrates that "in other words, the more choices on offer in the plan, the more likely participants were to opt for the default." (morningstar.com)
