Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at whether low vol is just ‘value in disguise.’
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Quote of the Day
"No financial researcher agrees on the canonical set of factors or how best to proxy them."
(Eric Falkenstein)
Quant stuff
- The future of finance is data, not models. (mathinvestor.org)
- 16 quants, including Cliff Asness, talk about the future of quantitative investing. (bloomberg.com)
- Moving averages 101. (sentimentrader.com)
Factors
- Why Ken French isn't willing to write-off the value premium yet. (institutionalinvestor.com)
- A look at how investor sentiment affects factor returns. (factorresearch.com)
- Crowding is a real issue with alternative risk premia. (alphaarchitect.com)
Behavior
- Incentives matter when it comes to financial sales. (alphaarchitect.com)
- People like to consume out of capital gains. (papers.ssrn.com)
Research
- Another reason to separate alpha and beta: tax efficiency. (cfainstitute.org)
- Darren Horn, "Replacing time-series momentum in individual stocks/futures contracts with cross-sectional momentum plus a time-varying exposure to the market may be easier to conceptualize and simpler to explain to others." (alphaarchitect.com)
- An example of where lower fund fees leader to better performance. (cfainstitute.org)
- Powerful CEOs equal a greater risk of a stock price crash. (sciencedirect.com)
- John Maynard Keynes was a good art collector, to boot. (academic.oup.com)
