Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the ‘bad luck’ that has befallen the value factor.
Quote of the Day
"The performance of Renaissance Technologies’ Medallion fund provides the ultimate counterexample to the hypothesis of market efficiency. To date, there is no adequate rational market explanation for this performance."(Brad Cornell)
Chart of the Day
How quickly does portfolio diversification come about?
- Why the enterprise multiple is a better than traditional measures of value. (alphaarchitect.com)
- How cheap value stocks are currently depends on how you measure it. (blog.thinknewfound.com)
- Low vol strategies are not just value in disguise. (morningstar.com)
- Does the CBOE's SKEW index do what it says it does? (osm.netlify.com)
- The real life downside of stock market volatility. (sciencedirect.com)
- How liquidity affects the performance of factor strategies. (factorresearch.com)
- How has the popularity of ETFs changed individual stock liquidity? (papers.ssrn.com)
- Why even perfect market timing won't add that much value. (ofdollarsanddata.com)
- Why do you think that demographic trends are NOT baked into current prices? (evidenceinvestor.com)
- Why secured funding has declined over time. (papers.ssrn.com)
- Defaults matter: how target-date funds have helped investor outcomes. (nber.org)