Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at how machine learning techniques can be used on lower frequency data.
Quote of the Day
"All ARPs are not alike with respect to their equity and bond betas, and their stability changes with the market environment. "(Mark Rzepczynski)
Chart of the Day
Why you should be skeptical of private equity return data.
- Five interesting papers from the American Finance Association annual meeting including "Factor Momentum and the Momentum Factor." (alphaarchitect.com)
- When using ensemble modeling methods makes sense. (mrzepczynski.blogspot.com)
- A review of some recent research on volatility. (capitalspectator.com)
- Has the value factor experienced a 'structural break'? (researchaffiliates.com)
- Can the low vol factor be timed using valuations? (alphaarchitect.com)
- The term premium may not be a source of returns going forward. (mrzepczynski.blogspot.com)
- 50 years of industry data tells us that not that many industries outperform. (fortunefinancialadvisors.com)
- Within fund families bond and equity analysts share info. (papers.ssrn.com)
- "New research shows that private equity acquisitions have less risk of financial distress the second time around than their primary buyout predecessors." (institutionalinvestor.com)
- History is filled with speculative bubbles in the commodities markets. (winton.com)