Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at the difference between ESG and low carbon portfolios.
Momentum
- How low vol-momentum portfolios have performed globally. (factorresearch.com)
- Why combining momentum with carry makes sense. (mrzepczynski.blogspot.com)
Equities
- Five firms accounts for 22% of the US equity market's increase in value from 2016 to 2019. (papers.ssrn.com)
- What is behind the difference in performance between large and small cap stocks? (alphaarchitect.com)
- Unprofitable companies have a much wider dispersion in outcomes. (wsj.com)
- What is the implied risk-free rate used by the market? (papers.ssrn.com)
Research
- Movements in the VIX do not follow anything near a normal distribution. (mrzepczynski.blogspot.com)
- What do you get when you apply factors, including trend, on fixed income? (blog.thinknewfound.com)
- How to detect lagged correlations in asset prices. (sr-sv.com)
- The low retirement savings rate may not be a puzzle at all. (papers.ssrn.com)
